• 91 Citations
  • 5 h-Index
20012019

Research output per year

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Research Output

  • 91 Citations
  • 5 h-Index
  • 22 Article

Optimal initial capital induced by the optimized certainty equivalent

Arai, T., Asano, T. & Nishide, K., 2019 Mar, In : Insurance: Mathematics and Economics. 85, p. 115-125 11 p.

Research output: Contribution to journalArticle

  • PRICING and HEDGING of VIX OPTIONS for BARNDORFF-NIELSEN and SHEPHARD MODELS

    Arai, T., 2019 Jan 1, (Accepted/In press) In : International Journal of Theoretical and Applied Finance. 1950043.

    Research output: Contribution to journalArticle

    Open Access
  • GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

    Arai, T., 2017 Mar 1, In : International Journal of Theoretical and Applied Finance. 20, 2, 1750011.

    Research output: Contribution to journalArticle

  • Local risk-minimization for Barndorff-Nielsen and Shephard models

    Arai, T., Imai, Y. & Suzuki, R., 2017 Apr 1, In : Finance and Stochastics. 21, 2, p. 551-592 42 p.

    Research output: Contribution to journalArticle

  • 3 Citations (Scopus)