Arturo Kohatsu-Higa

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Ramon Trias Fargas 25-27

Barcelona, 08005

Spain

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

Local Volatility Changes in the Black-Scholes Model

Number of pages: 39 Posted: 29 Jul 2000
Hans-Peter Bermin and Arturo Kohatsu-Higa
Lund University, Department of Economics and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 575 (47,644)
Citation 1

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Contingent claims, hedging, local Vega index, Malliavin calculus, stochastic flows

2.

Weak Approximations. A Malliavin Calculus Approach

Universitat Pompeu Fabra, Department of Economics Working Paper No. 358
Number of pages: 38 Posted: 16 Apr 1999
Arturo Kohatsu-Higa
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 136 (216,713)

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Hints for an Extension of the Early Exercise Premium Formula for American Options

Number of pages: 7 Posted: 13 Dec 2004
Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics
Downloads 115 (247,372)
Citation 1

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American put, Black-Scholes pricing, computational methods

Hints for an Extension of the Early Exercise Premium Formula for American Options

Physica A, Vol. 355, pp. 152-157, 2005
Posted: 12 Dec 2006
Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics

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American put, Black-Scholes pricing, computational methods

4.

Additional Utility of Insiders with Imperfect Dynamical Information

UPF Economics and Business Working Paper No. 675
Number of pages: 28 Posted: 08 Sep 2003
University of Barcelona - Faculty of Mathematics, Humboldt University of Berlin - Department of Mathematics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Statistics
Downloads 110 (254,135)
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Insider trading, enlargement of filtrations, Malliavin's calculus, utility maximization, arbitrage

5.

A Bpe Model for the Burgers' Equation

UPF Economics and Business Working Paper No. 717
Number of pages: 18 Posted: 12 Jul 2004 Last Revised: 14 Jun 2009
Shigeyoshi Ogawa and Arturo Kohatsu-Higa
Ritsumeikan University, Dept of Math Sci and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 58 (371,235)

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Burgers' equation, SDE

6.

Asymptotic Behaviour of the Density in a Parabolic SPDE

Universitat Pompeu Fabra, Department of Economics Working Paper No. 371
Number of pages: 35 Posted: 18 Aug 1999
Arturo Kohatsu-Higa, D. Márquez Carreras and M. Sanz Solé
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, University of Barcelona - Department of Statistics and University of Barcelona - Department of Statistics
Downloads 50 (397,431)

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7.

Local Vega Index and Variance Reduction Methods

Mathematical Finance, Vol. 13, pp. 85-97, 2003
Number of pages: 13 Posted: 20 Mar 2003
Hans-Peter Bermin, Arturo Kohatsu-Higa and Miquel Montero
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Departament de Física de la Matèria Condensada
Downloads 31 (473,499)
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Option Sensitivity, Volatility Structure

8.

Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options

Mathematical Finance, Vol. 13, pp. 99-113, 2003
Number of pages: 15 Posted: 24 Mar 2003
Guillaume Bernis, Emmanuel Gobet and Arturo Kohatsu-Higa
Banque CPR - CAI-Fixed Income, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 22 (522,319)
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Barrier and Lookback Options, Option Sensitivities, Malliavin Calculus

9.

Utility Maximization in an Insider Influenced Market

Mathematical Finance, Vol. 16, No. 1, pp. 153-179, January 2006
Number of pages: 27 Posted: 21 Jun 2006
Arturo Kohatsu-Higa and Agnes Sulem
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and French National Institute for Research in Computer Science and Control (INRIA)
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10.

On Moments and Tail Behaviors of Storage Processes

UPF Economics and Business Working Paper No. 673
Posted: 26 Sep 2003
Arturo Kohatsu-Higa and Makoto Yamazato
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Ryukyus

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Dam process, storage process, subordinator, submultiplicative functions, subexponentiality

11.

Variance Reduction Methods for Simulation of Densities on Wiener Space

UPF, Economics and Business Working Paper No. 597
Posted: 04 Oct 2002
Arturo Kohatsu-Higa and Roger Pettersson
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Vaxjo University

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Stochastic differential equations, weak approximation, variance reduction, kernel density estimation