WEKO3
アイテム
A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options
http://hdl.handle.net/2261/35800
http://hdl.handle.net/2261/3580071aa96cd-f96e-40fb-862d-ffc51e7d2cb6
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Currency option | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | libor market model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | stochastic volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | asymptotic expansion | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Monte Carlo simulation | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Takahashi, Akihiko
× Takahashi, Akihiko× Takehara, Kohta |
|||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98555 | |||||
| 姓名 | 高橋, 明彦 | |||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98556 | |||||
| 姓名 | 竹原, 浩太 | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, The University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for valuation of multi-factor European path-independent derivatives. Specifically, we apply it to pricing long-term currency options under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates.// Our scheme is very effective for a type of models in which there exist correlations among all the factors whose dynamics are not necessarily affine nor even Markovian so long as the randomness is generated by Brownian motions. It can also handle models that include jump components under an assumption of their independence of the other random variables when the characteristic functions for the jump parts can be analytically obtained.// An asymptotic expansion approach provides a closed-form approximation formula for their values, which can be calculated in a moment and thus can be used for calibration or for an explicit approximation of Greeks of options. Moreover, this scheme develops Fourier transform method with an asymptotic expansion as well as with closed-form characteristic functions obtainable in parts of a model, extending the method proposed by Takehara and Takahashi[2008] to be applicable to a general class of models. It also introduces a characteristic-function-based Monte Carlo simulation method with the asymptotic expansion as a control variable in order to make full use of analytical approximations by the asymptotic expansion and of the closed-form characteristic functions.// Finally, a series of numerical examples shows the effectiveness of our scheme. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Forthcoming in International Journal of Theoretical and Applied Finance Vol.13-8, 1179-1221, 2010; revised version of CIRJE-F-536 (2008). | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-734, 発行日 2010-04 |
|||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf734ab.html | |||||
