2 papers
stat.ME2023
Extended Relative Power Contribution that Allows to Evaluate the Effect of Correlated Noise
Genshiro Kitagawa, Yoko Tanokura, Seisho Sato
We proposed an extension of Akaike's relative power contribution that could be applied to data with correlations between noises. This method decomposes the power spectrum into a co…
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…