Yoshifumi Muroi

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Binomial tree method for option pricing: discrete cosine transform approach Mathematics and Computers in Simulation	2022-05-20	Paper
Computation of Greeks using the discrete Malliavin calculus and binomial tree SpringerBriefs in Statistics	2022-04-06	Paper
CCF approach for asymptotic option pricing under the CEV diffusion International Journal of Computer Mathematics	2022-02-17	Paper
Computation of Greeks in jump-diffusion models using discrete Malliavin calculus Mathematics and Computers in Simulation	2021-02-19	Paper
Computation of Greeks using binomial trees in a jump-diffusion model Journal of Economic Dynamics and Control	2018-11-15	Paper
Pricing of options in the singular perturbed stochastic volatility model Journal of Computational and Applied Mathematics	2017-08-28	Paper
Discrete Malliavin calculus and computations of Greeks in the binomial tree European Journal of Operational Research	2015-07-28	Paper
Spectral binomial tree: new algorithms for pricing barrier options Journal of Computational and Applied Mathematics	2014-04-30	Paper
Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads Asia-Pacific Financial Markets	2012-03-09	Paper
An explicit finite difference approach to the pricing problems of perpetual Bermudan options Asia-Pacific Financial Markets	2009-09-25	Paper
Pricing Lookback Options with Knock‐out Boundaries Applied Mathematical Finance	2007-02-15	Paper
Pricing contingent claims with credit risk: asymptotic expansion approach Finance and Stochastics	2006-05-24	Paper
Pricing American put options on defaultable bonds Asia-Pacific Financial Markets	2004-02-03	Paper

Research outcomes over time

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