Japan
Kanagawa-ku, Yokohama City 221-8686
JAPAN
Kanagawa University
Artificial neural network, derivatives, local and stochastic volatility model, asymptotic expansion, Monte Carlo simulation, stochastic differential equation
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Wiener–Ito Chaos Expansion, Hermite Polynomial, Successive Substitution, Diffusion Process, European Option
Wiener-Ito chaos expansion, Hermite polynomial, successive substitution, diffusion
artificial neural network,Wiener-Ito chaos expansion, option pricing, stochastic volatility model, mean-reverting process, implied volatility, European option, barrier option
Local volatility model, stochastic volatility model, fractional volatlity model, chaos expansion, density matching, calibration
Fractional Brownian motion; Hurst index; Stochastic volatility; Mean-reverting process; Implied volatility
Asian Option; Fractional Brownian motion; Stochastic volatility model; Meanreverting.
Average option; VWAP option; Local volatility model; Mean-reverting process
Wiener-Ito chaos expansion, local volatility, average option, basket option, spread option, Asian basket option
Hybrid stochastic and local volatility model, Wiener-Ito Chaos expansion, Hermite polynomial, Successive substitution, Smile and skew, Black-Scholes model
