15 citations · 48 across the 12 of their papers we have counts for
4 papers · 1 filter
Order Estimates for the Exact Lugannani-Rice Expansion
Takashi Kato, Jun Sekine, Kenichi Yoshikawa
The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent…
An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by…
Stock Price Fluctuations in an Agent-Based Model with Market Liquidity
Takashi Kato
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discret…
Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
Kensuke Ishitani, Takashi Kato
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execu…