3 citations · 7 across the 8 of their papers we have counts for
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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…
q-fin.PR2011★ 3 cited
Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
Yuri Imamura, Katsuya Takagi
On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection gr…