Tomonori Nakatsu

  • 10 Citations
  • 2 h-Index
20132019
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Research Output 2013 2019

  • 10 Citations
  • 2 h-Index
  • 5 Article
2019
Density function
Stochastic differential equations
Continuous time
Discrete-time
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: Contribution to journalArticle

1 Citation (Scopus)

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

Elasticity
Decomposition
Black-Scholes model
Volatility risk
Vega
2016
4 Citations (Scopus)
Probability density function
Differential equations
Stochastic differential equations
Density function
2013
5 Citations (Scopus)
Continuity
Stochastic differential equations
Coefficients