Hideharu Funahashi

Mizuho Securities Co. Ltd

Mizuho Securities Co. Ltd

Tokyo

100-0004

Japan

SCHOLARLY PAPERS

8

DOWNLOADS

2

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (8)

A Chaos Expansion Approach for the Pricing of Contingent Claims

Journal of Computational Finance, Vol. 18, No. 3, Pages 27–58, 2015
Number of pages: 32 Posted: 15 Jun 2016
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Tokyo Metropolitan University
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Wiener–Ito Chaos Expansion, Hermite Polynomial, Successive Substitution, Diffusion Process, European Option

A Chaos Expansion Approach for the Pricing of Contingent Claims

Journal of Computational Finance,Volume 18, Issue 3, 1-31
Posted: 01 Dec 2013 Last Revised: 03 Aug 2015
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Kyoto University - Graduate School of Economics

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Wiener-Ito chaos expansion, Hermite polynomial, successive substitution, diffusion

2.

Replication Scheme for the Pricing of European Options

Posted: 10 Mar 2019 Last Revised: 17 May 2021
Hideharu Funahashi
Mizuho Securities Co. Ltd

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Local volatility model, stochastic volatility model, fractional volatlity model, chaos expansion, density matching, calibration

3.

Does the Hurst Index Matter for Option Prices Under Fractional Volatility?

Annals of Finance, Forthcoming
Posted: 04 Jan 2017
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Tokyo Metropolitan University

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Fractional Brownian motion; Hurst index; Stochastic volatility; Mean-reverting process; Implied volatility

4.

Pricing Derivatives with Fractional Volatility

International Journal of Financial Engineering, 2017, 4(1), p1-28
Posted: 09 Jun 2016 Last Revised: 03 May 2017
Hideharu Funahashi
Mizuho Securities Co. Ltd

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Asian Option; Fractional Brownian motion; Stochastic volatility model; Meanreverting.

5.

An Analytical Approximation for Pricing VWAP Options

Quantitative Finance, Forthcoming
Posted: 09 Apr 2015 Last Revised: 21 Mar 2019
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Kyoto University - Graduate School of Economics

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Average option; VWAP option; Local volatility model; Mean-reverting process

6.

An Analytical Approximation for European Option Prices Under Stochastic Interest Rate Economy

International Journal of Theoretical and Applied Finance, Volume 18, Issue 04, June 2015
Posted: 24 Mar 2014 Last Revised: 31 Jul 2015
Hideharu Funahashi
Mizuho Securities Co. Ltd

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7.

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

Applied Mathematical Finance, Volume 21, Issue 2, 2014
Posted: 01 Dec 2013 Last Revised: 11 Apr 2014
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Kyoto University - Graduate School of Economics

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Wiener-Ito chaos expansion, local volatility, average option, basket option, spread option, Asian basket option

8.

A Chaos Expansion Approach Under Hybrid Volatility Models

Quantitative Finance, Volume 14, Issue 11, 2014
Posted: 09 Sep 2012 Last Revised: 13 Oct 2014
Hideharu Funahashi
Mizuho Securities Co. Ltd

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Hybrid stochastic and local volatility model, Wiener-Ito Chaos expansion, Hermite polynomial, Successive substitution, Smile and skew, Black-Scholes model