3 citations · 7 across the 8 of their papers we have counts for
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q-fin.CP2017
Towards the Exact Simulation Using Hyperbolic Brownian Motion
Yuuki Ida, Yuri Imamura
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under…
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…