Research Output per year

## Research Output 2013 2017

- 2 Citations
- 1 h-Index
- 4 Article

2017

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

Barrier options

Stochastic differential equations

Black-Scholes model

Volatility risk

Lookback options

2016

## Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions

Nakatsu, T. 2016 Mar 3 In : Stochastic Analysis and Applications. 34, 2, p. 293-317 25 p.Research output: Research - peer-review › Article

Stochastic differential equations

Density function

Probability density function

Differential equations

Continuous time

2013

2
Citations

## Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum

Nakatsu, T. 2013 Nov In : Statistics and Probability Letters. 83, 11, p. 2499-2506 8 p.Research output: Research - peer-review › Article

Continuity

Stochastic differential equations

Coefficients

Malliavin calculus