2 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.PR2017★ 1 cited
The Value of Timing Risk
Jiro Akahori, Flavia Barsotti, Yuri Imamura
The aim of this paper is to provide a mathematical contribution on the semi-static hedge of timing risk associated to positions in American-style options under a multi-dimensional…
q-fin.CP2012★ 2 cited
On a Symmetrization of Diffusion Processes
Jiro Akahori, Yuri Imamura
The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process.…
q-fin.CP2012★ 1 cited
A Numerical Scheme Based on Semi-Static Hedging Strategy
Yuri Imamura, Yuta Ishigaki, Takuya Kawagoe +1
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based…