1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.CP2012
An FBSDE Approach to American Option Pricing with an Interacting Particle Method
Masaaki Fujii, Seisho Sato, Akihiko Takahashi
In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well-known decomposition…
q-fin.PR2011★ 1 cited
Collateralized CDS and Default Dependence
Masaaki Fujii, Akihiko Takahashi
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way.…