TSUZUKI Yukihiro
Academic Assembly School of Humanities and Social Sciences Institute of Social Sciences
Faculty of Economics and Law Department of Economics
Associate Professor
Researcher Information
Research activity information
Paper
- Boundary conditions at infinity for Black-Scholes equations
Yukihiro Tsuzuki
2024 - Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers
Yukihiro Tsuzuki
2023 - Some perpetual integral functionals of the three-dimensional Bessel process
Yukihiro Tsuzuki
Stochastics and Dynamics, 23, 2350008 1-2350008 31, 2023
- FVA 論争について
都築 幸宏
信州大学経法論集, (6), 123-141, 26 Mar. 2019
- Rebalancing Static Super-Replications
Takahashi, A. and Tsuzuki, Y.
Journal of Financial Engineering, 4(1), 1750003-1-1750003-23, 2017 - A New Improvement Scheme for Approximation Methods of Probability Density Functions
Takahashi, A. and Tsuzuki, Y.
Journal of Computational Finance, 19(4), 73-94, 2016 - Pricing bounds on quanto option
Tsuzuki, Y.
The Journal of Derivatives, 23(2), 53—61, 2015 - No-arbitrage bounds on two one-touch options
Tsuzuki, Y.
International Journal of Theoretical and Applied Finance, 18(3), 1550021-1-1550021-22, 2015 - Pricing bounds on barrier options
Tsuzuki, Y.
Journal of Futures Markets, 34(12), 1170—1184, 2014 - On optimal super-hedging and sub-hedging strategies
Tsuzuki, Y.
International Journal of Theoretical and Applied Finance, 16(6), 1350038-1-1350038-17, 2013 - Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments
Takahashi, A., Tsuzuki, Y. and Yamazaki, A.
International Journal of Theoretical and Applied Finance, 14(04), 485-505, 2011
