16 citations · 17 across the 5 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2018
Asymptotic Static Hedge via Symmetrization
Jiro Akahori, Flavia Barsotti, Yuri Imamura
This paper is a continuation of Akahori-Barsotti-Imamura (2017) and where the authors i) showed that a payment at a random time, which we call timing risk, is decomposed into an in…
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…