3 citations · 7 across the 8 of their papers we have counts for
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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…