WEKO3
アイテム
Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options
http://hdl.handle.net/2261/37284
http://hdl.handle.net/2261/372844539db7d-ac80-4da2-8996-20a4b3739180
| 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 | Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic Expansion | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Malliavin Calculus | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stochastic Volatility | |||||
| 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 | Currency Options | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification: C63, G13 | |||||
| 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 |
Takehara, Kohta
× Takehara, Kohta× Toda, Masashi× Takahashi, Akihiko |
|||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98597 | |||||
| 姓名 | 竹原, 浩太 | |||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98598 | |||||
| 姓名 | 戸田, 真史 | |||||
| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 98599 | |||||
| 姓名 | 高橋, 明彦 | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Research Fellow of the Japan Society for the Promotion of Science | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Recently, not only academic researchers but also many practitioners have used the methodology so-called "an asymptotic expansion method" in their proposed techniques for a variety of financial issues. e.g. pricing or hedging complex derivatives under high-dimensional stochastic environments. This methodology is mathematically justified by Watanabe theory(Watanabe [1987], Yoshida [1992a,b]) in Malliavin calculus and essentially based on the framework initiated by Kunitomo and Takahashi [2003], Takahashi [1995,1999] in a financial context. In practical applications, it is desirable to investigate the accuracy and stability of the method especially with expansion up to high orders in situations where the underlying processes are highly volatile as seen in recent financial markets.<改行>After Takahashi [1995,1999] and Takahashi and Takehara [2007] had provided explicit formulas for the expansion up to the third order, Takahashi, Takehara and Toda [2009] develops general computation schemes and formulas for an arbitrary-order expansion under general diffusion-type stochastic environments.<改行>In this paper, we describe them in a simple setting to illustrate thier key idea, and to demonstrate their effectiveness apply them to pricing long-term currency options under a cross-currency Libor market model and a general stochastic volatility of a spot exchange rate with maturities up to twenty years. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Subsequently published in The International Journal of Business and Finance Research, vol. 5-3, 2011. | |||||
| 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-753, 発行日 2010-07 |
|||||
| 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/2010/2010cf753ab.html | |||||
