On validity of the asymptotic expansion approach in contingent claim analysis

By Naoto Kunitomo, Akihiko Takahashi. 2003

116 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/06f99311f3cb3276702ec93ddb31e91cb00fedd2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Masaaki Fukasawa
2. Naoto Kunitomo
3. Akihiko Takahashi
4. Nengjiu Ju
5. Eduardo Abi Jaber
6. Chenxu Li
7. Hongwei Long

In Management Science and Operations Research

1. Masaaki Fukasawa
2. Naoto Kunitomo
3. Akihiko Takahashi

Citations in the corpus

• Short-time at-the-money skew and rough fractional volatility (2015, background): “Kunitomo, N. and Takahashi, A., On validity of the asymptotic expansion approach in contingent claim analysis.”
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims (2001, methodology): “1 of Yoshida (1992a), which is an extension of Theorem 2.”