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Naoto Kunitomo · Study

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Naoto Kunitomo

11 works· latest 2013· 1 institutionscluster: provisionalORCID 0000-0001-8493-7914

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Citations903

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Most cited in this library

Pricing Options With Curved Boundaries 11992 · 268 citations
The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims2001 · 135 citations
Improving the Parkinson Method of Estimating Security Price Volatilities1992 · 134 citations
On validity of the asymptotic expansion approach in contingent claim analysis2003 · 119 citations
Properties of Predictors in Misspecified Autoregressive Time Series Models1985 · 84 citations

Works

11 shown

Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise

The North American Journal of Economics and Finance·2013·2 authors

23citations

Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems

Ritsumeikan International Symposium on Stochastic Processes and Applications to Mathematical Finance·2004·2 authors·other·Open access

29citations

On validity of the asymptotic expansion approach in contingent claim analysis

The Annals of Applied Probability·2003·2 authors·Open access

119citations

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

Mathematical Finance·2001·2 authors

135citations

Pricing Options under Stochastic Interest Rates: A New Approach

Asia-Pacific Financial Markets·1999·2 authors

44citations

TESTS OF UNIT ROOTS AND COINTEGRATION HYPOTHESES IN ECONOMETRIC MODELS

Japanese Economic Review·1996·1 author

38citations

Asymmetry in economic time series and the simultaneous switching autoregressive model

Structural Change and Economic Dynamics·1996·2 authors

11citations

Pricing Options With Curved Boundaries 1

Mathematical Finance·1992·1 author

268citations

Improving the Parkinson Method of Estimating Security Price Volatilities

The Journal of Business·1992·1 author

134citations

Properties of Predictors in Misspecified Autoregressive Time Series Models

Journal of the American Statistical Association·1985·2 authors

84citations

Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations

International Economic Review·1983·3 authors

18citations