1 citations · 1 across the 6 of their papers we have counts for
6 papers
Short-time at-the-money skew and rough fractional volatility
Masaaki Fukasawa
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asse…
Efficient price dynamics in a limit order market: an utility indifference approach
Masaaki Fukasawa
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging probl…
Asymptotic replication with modified volatility under small transaction costs
Jiatu Cai, Masaaki Fukasawa
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that…
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…
Efficient Discretization of Stochastic Integrals
Masaaki Fukasawa
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis an…
Discretization error of Stochastic Integrals
Masaaki Fukasawa
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effe…