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Kenji Yasutomi

  1. Realization of a finite-state stationary Markov chain as a random walk subject to a synchronizing road coloring.

    Fri, 06/04/2010 - 15:01 — SomNambul
    Authors: Kouji Yano, Kenji Yasutomi
    Subjects: Probability
    Abstract

    A finite-state stationary Markov chain which is irreducible and aperiodic is
    proved to be realized as a random walk in a directed graph subject to a
    synchronizing road coloring. Isomorphism problem of the realization is also
    studied. The result is related to the road coloring theorem.

  2. Asymptotic behavior of prices of path dependent options.

    Tue, 12/01/2009 - 16:02 — SomNambul
    Authors: Yuji Hishida, Kenji Yasutomi
    Subjects: Pricing of Securities
    Abstract

    In this paper, we give a numerical method for pricing long maturity, path
    dependent options by using the Markov property for each underlying asset. This
    enables us to approximate a path dependent option by using some kinds of plain
    vanillas. We give some examples whose underlying assets behave as some popular
    Levy processes. Moreover, we give some payoffs and functions used to
    approximate them.

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