Yukihiro Tsuzuki

University of Tokyo - Graduate School of Economics

Tokyo

Japan

SCHOLARLY PAPERS

8

DOWNLOADS

586

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

A New Improvement Scheme on Approximation Methods for Probability Density Functions

Journal of Computational Finance, 2015
Number of pages: 19 Posted: 24 Jan 2013 Last Revised: 10 Jun 2016
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 176 (256,707)
Citation 3

Abstract:

Loading...

Density approximation, Probability density function, Asymptotic expansion, Best approximation in inner product spaces, Dykstra’s algorithm, Option pricing, SABR model

2.

Hedging European Derivatives with the Polynomial Variance Swap Under Uncertain Volatility Environments

International Journal of Theoretical and Applied Finance, Vol. 14, No. 4, 2011
Number of pages: 23 Posted: 22 Oct 2009 Last Revised: 20 Jul 2011
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
University of Tokyo - Faculty of Economics, University of Tokyo - Graduate School of Economics and Hosei University - Graduate School of Business Administration
Downloads 122 (344,216)
Citation 1

Abstract:

Loading...

European Derivatives, Black-Scholes Delta Hedging, Uncertain Volatility Risk, Polynomial Variance Swap

3.

No-Arbitrage Bounds on Two One-Touch Options

Number of pages: 18 Posted: 19 May 2013 Last Revised: 05 May 2014
Yukihiro Tsuzuki
University of Tokyo - Graduate School of Economics
Downloads 111 (368,207)

Abstract:

Loading...

one-touch option, no-touch option, barrier option, model-independent, super-replication, sub-replication

4.

Pricing Bounds on Barrier Options

Number of pages: 13 Posted: 14 Jan 2012 Last Revised: 27 Apr 2013
Yukihiro Tsuzuki
University of Tokyo - Graduate School of Economics
Downloads 101 (392,880)
Citation 1

Abstract:

Loading...

barrier option, pricing bound, model-independent, super-sub-replication

5.

Rebalancing Static Super-Replications

Number of pages: 21 Posted: 08 Apr 2011 Last Revised: 23 Jan 2013
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 76 (467,831)

Abstract:

Loading...

super-replication, Doob-Meyer decomposition, rebalance, cross-currency option, one-touch option

6.

Pricing Bounds on Quanto Options

Posted: 20 May 2019
Yukihiro Tsuzuki
University of Tokyo - Graduate School of Economics
Downloads 0 (974,928)
Citation 1

Abstract:

Loading...

qunato option, pricing bounds, super-replication, sub-replication, model-independent

7.

A New Improvement Scheme for Approximation Methods of Probability Density Functions

Journal of Computational Finance, Vol. 19, No. 4, 2016
Number of pages: 22 Posted: 14 Jun 2016
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 0 (974,928)
  • Add to Cart

Abstract:

Loading...

density approximation, probability density function, asymptotic expansion, best approximation in inner product spaces, Dykstra’s algorithm, option pricing

8.

Super-Hedging with Young’s Inequality

Posted: 04 Feb 2011 Last Revised: 22 May 2019
Yukihiro Tsuzuki
University of Tokyo - Graduate School of Economics

Abstract:

Loading...

Super-Hedging, Sub-Hedging, Young’s Inequality, Model-Independent