Tomonori Nakatsu

  • 4 Citations
  • 1 h-Index
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Stochastic differential equations Business & Economics
Malliavin calculus Business & Economics
Continuity Business & Economics
Density function Business & Economics
Coefficients Business & Economics
Lookback options Business & Economics
Volatility risk Business & Economics
Vega Business & Economics

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Research Output 2013 2017

  • 4 Citations
  • 1 h-Index
  • 4 Article

An Integration by Parts Type Formula for Stopping Times and its Application

Nakatsu, T. 2017 Sep 1 In : Methodology and Computing in Applied Probability. 19, 3, p. 751-773 23 p.

Research output: Contribution to journalArticle

Volatility risk structure for options depending on extrema

Nakatsu, T. 2017 Dec 1 In : Journal of Computational Finance. 21, 3, p. 105-122 18 p.

Research output: Contribution to journalArticle

Barrier options
Stochastic differential equations
Black-Scholes model
1 Citations
Probability density function
Differential equations
Stochastic differential equations
Density function
3 Citations
Stochastic differential equations