2 citations · 5 across the 16 of their papers we have counts for
16 papers
Local risk-minimization for exponential additive processes
Takuji Arai
We explore local risk-minimization, a quadratic hedging method for incomplete markets, in exponential additive models. The objectives are to derive explicit mathematical expression…
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure
Takuji Arai, Yuto Imai
The Barndorff-Nielsen and Shephard model is a representative jump-type stochastic volatility model. Still, no method exists to compute option prices numerically for the non-marting…
Constrained optimal stopping under a regime-switching model
Takuji Arai, Masahiko Takenaka
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopp…
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Takuji Arai
For the Barndorff-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by Arai (2021). Besides, some nu…
Alòs type decomposition formula for Barndorff-Nielsen and Shephard model
Takuji Arai
The objective is to provide an Alòs type decomposition formula of call option prices for the Barndorff-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility…
A Clark-Ocone type formula via Ito calculus and its application to finance
Takuji Arai, Ryoichi Suzuki
An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a ma…
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Takuji Arai
The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been tr…
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
Takuji Arai, Yuto Imai, Ryo Nakashima
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose…
A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus
Takuji Arai, Yuto Imai
We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump ty…
On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
Takuji Arai, Yuto Imai
We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models, where delta hedging strategies in this paper are defined under t…
Numerical analysis on local risk-minimization forexponential Lévy models
Takuji Arai, Yuto Imai, Ryoichi Suzuki
We illustrate how to compute local risk minimization (LRM) of call options for exponential Lévy models. We have previously obtained a representation of LRM for call options; here w…
Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
Takuji Arai
We derive representations of local risk-minimization of call and put options for Barndorff-Nielsen and Shephard models: jump type stochastic volatility models whose squared volatil…
Good deal bounds with convex constraints
Takuji Arai
We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Ara…
Local risk-minimization for Barndorff-Nielsen and Shephard models
Takuji Arai, Yuto Imai, Ryoichi Suzuki
We obtain explicit representations of locally risk-minimizing strategies of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein--Uhlenbeck-type s…
Convex risk measures for good deal bounds
Takuji Arai, Masaaki Fukasawa
We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure…
Good deal bounds induced by shortfall risk
Takuji Arai
We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and con…