Details of the Researcher

PHOTO

Yoshifumi Muroi
Section
Graduate School of Economics and Management
Job title
Professor
Degree

  • Ph.D. in Economics (The University of Tokyo)

Research History 6

  • 2020/04 - Present
    Tohoku University　Graduate School of Economics and Mangement　Professor

  • 2009/04 - 2020/03
    Tohoku University　Graduate School of Economics and Mangement　Associate Professor

  • 2007/06 - 2009/03
    大阪大学金融保険教育研究センター大阪証券取引所寄付研究部門　寄付研究部門助教

  • 2006/07 - 2007/05
    大阪大学金融保険教育研究センター(現 数理・データ科学教育研究センター)　特任助手・助教

  • 2005/04 - 2006/06
    日本銀行金融研究所

  • 2004/04 - 2005/03
    東京大学大学院経済学研究科　COEプロジェクト研究員

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Education 3

  • University of Tokyo　Graduate School of Economics

    1998/04 - 2004/03

  • University of Tokyo　Graduate School of Engineering　Department of Mathematical Engineering and Information Physics

    1997/04 - 1998/03

  • University of Tokyo　Department of Science　(Mathematics)

    - 1997/03

Professional Memberships 3

  • 日本統計学会

  • 日本応用数理学会

  • 日本金融・証券計量・工学学会(JAFEE)

Research Interests 3

  • applied mathematics

  • stochastic process

  • mathematical finance

Research Areas 2

  • Natural sciences / Applied mathematics and statistics /

  • Humanities & social sciences / Money and finance /

Papers 19

  1. Binomial tree method for American option pricing: Discrete cosine transform approach Peer-reviewed

    Yoshifumi Muroi, Shintaro Suda

    Computational Economics　2025/06/24

    Publisher: Springer Science and Business Media LLC

    DOI： 10.1007/s10614-025-11023-x 　

    ISSN： 0927-7099

    eISSN： 1572-9974

    More details Close

    Abstract This study introduces a novel methodology for pricing options with early exercise features, specifically American and Bermudan options, using the discrete cosine transform (DCT) within the binomial tree model framework. The research begins by addressing the limitations of traditional binomial tree methods when applied to complex models, such as Lévy processes, which have been perceived as inefficient for option pricing. We outline a systematic approach that incorporates the DCT to enhance computational efficiency and accuracy in option pricing. The procedure involves first establishing the binomial tree model, followed by the integration of the DCT to estimate option prices rapidly. We demonstrate the effectiveness of this method by applying it to various models, including the classic Black-Scholes model, as well as jump-diffusion and exponential Lévy process models, such as the exponential CGMY and exponential normal inverse Gaussian models. The key highlights of our research include the significant improvement in pricing speed and precision, as well as the versatility of the DCT in adapting to both standard and complex financial models. This study not only expands the applicability of the binomial tree model but also paves the way for future research in option pricing methodologies.

  2. Lattice approach for option pricing under Lévy processes Peer-reviewed

    Yoshifumi Muroi, Shintaro Suda

    The Journal of Derivatives　31　(1)　34-48　2023/06/07

    Publisher: With Intelligence LLC

    DOI： 10.3905/jod.2023.1.185 　

    ISSN： 1074-1240

    eISSN： 2168-8524

  3. Binomial tree method for option pricing: Discrete cosine transform approach Peer-reviewed

    Yoshifumi Muroi, Shintaro Suda

    Mathematics and Computers in Simulation　198　312-331　2022/08

    Publisher: Elsevier BV

    DOI： 10.1016/j.matcom.2022.02.032 　

    ISSN： 0378-4754

  4. Binomial tree method for option pricing: Discrete Carr and Madan formula approach Peer-reviewed

    Yoshifumi Muroi, Ryota Saeki, Shintaro Suda

    International Journal of Financial Engineering　8　(2)　2150024-2150024　2021/05/14

    Publisher: World Scientific Pub Co Pte Lt

    DOI： 10.1142/s2424786321500249 　

    ISSN： 2424-7863

    eISSN： 2424-7944

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    This paper suggests a new Fourier analysis approach to evaluate the option prices and its sensitivities (Greeks) using the binomial tree model. In the last half of this paper, we show that option prices are efficiently and effectively evaluated using a semi-closed form formula for European option prices. We can compute option prices in a broad class of jump-diffusion models because we calculate the characteristic function for an underlying asset price numerically. Furthermore, we also compute the price of European options in the exp-Levy model. This numerical experiment gives new insights into option pricing in the nonparametric Levy model. The option prices and sensitivities can be computed very accurately and efficiently, even in binomial tree models with jumps.

  5. CCF approach for asymptotic option pricing under the CEV diffusion Peer-reviewed

    Yoshifumi Muroi

    International Journal of Computer Mathematics　97　(8)　1603-1620　2020/08/02

    Publisher: Informa UK Limited

    DOI： 10.1080/00207160.2019.1639675 　

    ISSN： 0020-7160

    eISSN： 1029-0265

  6. Computation of Greeks in jump-diffusion models using discrete Malliavin calculus Peer-reviewed

    Yoshifumi Muroi, Shintaro Suda

    Mathematics and Computers in Simulation　140　69-93　2017/10

    DOI： 10.1016/j.matcom.2017.03.002 　

    ISSN： 0378-4754

    eISSN： 1872-7166

  7. Pricing of options in the singular perturbed stochastic volatility model Peer-reviewed

    Tianmiao Liu, Yoshifumi Muroi

    Journal of Computational and Applied Mathematics　320　138-144　2017/08

    DOI： 10.1016/j.cam.2017.01.037 　

    ISSN： 0377-0427

    eISSN： 1879-1778

  8. Computation of Greeks using binomial tree Peer-reviewed

    Yoshifumi Muroi, Shintaro Suda

    Journal of Mathematical Finance　7　597-623　2017

  9. Pricing of guaranteed annuity options in a stochastic volatility and interest rate environment Peer-reviewed

    Keisuke Kizaki, Yoshifumi Muroi

    Asia-Pacific Journal of Risk and Insurance　10　133-153　2016

  10. Computation of Greeks using binomial trees in a jump-diffusion model Peer-reviewed

    Shintaro Suda, Yoshifumi Muroi

    Journal of Economic Dynamics & Control　51　93-110　2015/02

    DOI： 10.1016/j.jedc.2014.09.032 　

    ISSN： 0165-1889

    eISSN： 1879-1743

  11. A simple relationship between Greeks for Asian options Peer-reviewed

    Tianmiao Liu, Yoshifumi Muroi

    International Journal of Financial Markets and Derivatives　4　195-202　2015

  12. Discrete Malliavin calculus and computations of Greeks in the binomial tree Peer-reviewed

    Yoshifumi Muroi, Shintaro Suda

    European Journal of Operational Research　231　(2)　349-361　2013/12

    DOI： 10.1016/j.ejor.2013.05.038 　

    ISSN： 0377-2217

  13. Spectral binomial tree: New algorithms for pricing barrier options Peer-reviewed

    Yoshifumi Muroi, Takashi Yamada

    Journal of Computational and Applied Mathematics　249　107-119　2013

    DOI： 10.1016/j.cam.2012.10.036 　

    ISSN： 0377-0427

  14. Pricing of credit derivatives with the asymptotic expansion approach Peer-reviewed

    Yoshifumi Muroi

    Journal of Computational Finance　135-171　2012

  15. Pricing derivatives using the asymptotic expansion approach: Credit migration models with stochastic credit spreads Peer-reviewed

    Yoshifumi Muroi, E. Kazuhiro Takino

    Asia-Pacific Financial Markets　18　(4)　345-372　2011/11

    DOI： 10.1007/s10690-010-9134-0 　

    ISSN： 1387-2834

  16. An explicit finite difference approach to the pricing problems of perpetual Bermudan options Peer-reviewed

    Yoshifumi Muroi, Takashi Yamada

    Asia-Pacific Financial Markets　15　(3-4)　229-253　2008/12

    DOI： 10.1007/s10690-009-9080-x 　

    ISSN： 1387-2834

  17. Pricing lookback options with knock-out boundaries Peer-reviewed

    Yoshifumi Muroi

    Applied Mathematical Finance　13　(2)　155-190　2006/06/01

    DOI： 10.1080/13504860600563028 　

    ISSN： 1350-486X 1466-4313

  18. Pricing contingent claims with credit risk: Asymptotic expansion approach Peer-reviewed

    Yoshifumi Muroi

    Finance and Stochastics　9　(3)　415-427　2005/07

    DOI： 10.1007/s00780-004-0147-2 　

    ISSN： 0949-2984

  19. Pricing American options on defaultable bonds Peer-reviewed

    Yoshifumi Muroi

    Asia-Pacific Financial Markets　217-239　2002

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Books and Other Publications 2

  1. Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

    2022/04

  2. 保険と金融の数理

    室井芳史

    共立出版　2017