1 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.CP2018★ 1 cited
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…
q-fin.CP2015
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…
q-fin.MF2015★ 1 cited
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…