Details about Yoshifumi Muroi

Access statistics for papers by Yoshifumi Muroi.

Last updated 2021-11-09. Update your information in the RePEc Author Service.

Short-id: pmu468

Working Papers

2014

1. Computation of Greeks using Binomial Tree
   TMARG Discussion Papers, Graduate School of Economics and Management, Tohoku University View citations (2)

2006

2. Pricing problems of perpetual Bermudan options
   Computing in Economics and Finance 2006, Society for Computational Economics

Journal Articles

2021

1. Binomial tree method for option pricing: Discrete Carr and Madan formula approach
   International Journal of Financial Engineering (IJFE), 2021, 08, (02), 1-28 View citations (1)

2017

2. Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
   Mathematics and Computers in Simulation (MATCOM), 2017, 140, (C), 69-93 View citations (1)

2016

3. Pricing of Guaranteed Annuity Options in a Stochastic Volatility and Interest Rate Environment
   Asia-Pacific Journal of Risk and Insurance, 2016, 10, (2), 133-153 View citations (1)

2015

4. A simple relationship between Greeks for Asian options
   International Journal of Financial Markets and Derivatives, 2015, 4, (3/4), 195-202
5. Computation of Greeks using binomial trees in a jump-diffusion model
   Journal of Economic Dynamics and Control, 2015, 51, (C), 93-110 View citations (2)

2013

6. Discrete Malliavin calculus and computations of greeks in the binomial tree
   European Journal of Operational Research, 2013, 231, (2), 349-361 View citations (3)

2011

7. Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads
   Asia-Pacific Financial Markets, 2011, 18, (4), 345-372 View citations (1)

2008

8. An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options
   Asia-Pacific Financial Markets, 2008, 15, (3), 229-253 View citations (1)

2006

9. Pricing Lookback Options with Knock-out Boundaries
   Applied Mathematical Finance, 2006, 13, (2), 155-190 View citations (1)

2005

10. Pricing contingent claims with credit risk: Asymptotic expansion approach
    Finance and Stochastics, 2005, 9, (3), 415-427 View citations (29)