WEKO3
アイテム
{"_buckets": {"deposit": "5d31bcf2-8118-44c4-8dd9-68e210916c86"}, "_deposit": {"id": "42811", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42811"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042811", "sets": ["7436", "7434"]}, "item_8_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2011-08", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "CIRJE-F-815", "bibliographic_titles": [{"bibliographic_title": "Discussion paper series. CIRJE-F"}]}]}, "item_8_description_13": {"attribute_name": "フォーマット", "attribute_value_mlt": [{"subitem_description": "application/pdf", "subitem_description_type": "Other"}]}, "item_8_description_5": {"attribute_name": "抄録", "attribute_value_mlt": [{"subitem_description": "This paper proposes a general approximation method for the solutions to second-order parabolic partial differential equations (PDEs) widely used in finance through an extension of Léandre\u0027s approach(Léandre (2006,2008)) and the Bismut identiy(e.g. chapter IX-7 of Malliavin (1997)) in Malliavin calculus. We show two types of its applications, new approximations of derivatives prices and short-time asymptotic expansions of the heat kernel. In particular, we provide new approximation formulas for plain-vanilla and barrier option prices under stochastic volatility models. We also derive short-time asymptotic expansions of the heat kernel under general time-homogenous local volatility and local-stochastic volatility models in finance which include Heston (Heston (1993)) and (λ-)SABR models (Hagan et.al. (2002), Labordere (2008)) as special cases. Some numerical examples are shown.", "subitem_description_type": "Abstract"}]}, "item_8_description_6": {"attribute_name": "内容記述", "attribute_value_mlt": [{"subitem_description": "Revised in January 2012.", "subitem_description_type": "Other"}, {"subitem_description": "本文フィルはリンク先を参照のこと", "subitem_description_type": "Other"}]}, "item_8_publisher_20": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "日本経済国際共同センター"}]}, "item_8_relation_25": {"attribute_name": "関係URI", "attribute_value_mlt": [{"subitem_relation_type_id": {"subitem_relation_type_id_text": "http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf815ab.html", "subitem_relation_type_select": "URI"}}]}, "item_8_source_id_10": {"attribute_name": "書誌レコードID", "attribute_value_mlt": [{"subitem_source_identifier": "AA11450569", "subitem_source_identifier_type": "NCID"}]}, "item_8_subject_15": {"attribute_name": "日本十進分類法", "attribute_value_mlt": [{"subitem_subject": "335", "subitem_subject_scheme": "NDC"}]}, "item_8_text_21": {"attribute_name": "出版者別名", "attribute_value_mlt": [{"subitem_text_value": "Center for International Research on the Japanese Economy"}]}, "item_8_text_34": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_text_value": "Discussion Paper"}]}, "item_8_text_4": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_value": "Graduate School of Economics, the University of Tokyo"}, {"subitem_text_value": "Mitsubishi UFJ Trust Investment Technology Institute Co.,Ltd. (MTEC)"}]}, "item_access_right": {"attribute_name": "アクセス権", "attribute_value_mlt": [{"subitem_access_right": "metadata only access", "subitem_access_right_uri": "http://purl.org/coar/access_right/c_14cb"}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Takahashi, Akihiko"}], "nameIdentifiers": [{"nameIdentifier": "98433", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Yamada, Toshihiro"}], "nameIdentifiers": [{"nameIdentifier": "98434", "nameIdentifierScheme": "WEKO"}]}]}, "item_keyword": {"attribute_name": "キーワード", "attribute_value_mlt": [{"subitem_subject": "Barrier Options", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Knock-out options", "subitem_subject_scheme": "Other"}, {"subitem_subject": "SABR model", "subitem_subject_scheme": "Other"}, {"subitem_subject": "λ-)SABR models", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Heston model", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Short time asymptotics", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Heat kernel expansions", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Malliavin calculus", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Bismut indentity", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Stochastic volatility", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Local volatility", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Integration-by-parts", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Semigroup", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Derivatives pricing", "subitem_subject_scheme": "Other"}]}, "item_language": {"attribute_name": "言語", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "item_resource_type": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"resourcetype": "technical report", "resourceuri": "http://purl.org/coar/resource_type/c_18gh"}]}, "item_title": "On Approximation of the Solutions to Partial Differential Equations in Finance", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "On Approximation of the Solutions to Partial Differential Equations in Finance"}]}, "item_type_id": "8", "owner": "1", "path": ["7436", "7434"], "permalink_uri": "http://hdl.handle.net/2261/50194", "pubdate": {"attribute_name": "公開日", "attribute_value": "2017-01-17"}, "publish_date": "2017-01-17", "publish_status": "0", "recid": "42811", "relation": {}, "relation_version_is_last": true, "title": ["On Approximation of the Solutions to Partial Differential Equations in Finance"], "weko_shared_id": null}
On Approximation of the Solutions to Partial Differential Equations in Finance
http://hdl.handle.net/2261/50194
http://hdl.handle.net/2261/50194e5bb5284-f97e-4e82-ad67-4dbde98b34b1
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 | On Approximation of the Solutions to Partial Differential Equations in Finance | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Barrier Options | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Knock-out options | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | SABR model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | λ-)SABR models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Heston model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Short time asymptotics | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Heat kernel expansions | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin calculus | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Bismut indentity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Stochastic volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Local volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Integration-by-parts | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Semigroup | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Derivatives pricing | |||||
主題Scheme | Other | |||||
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× Yamada, Toshihiro |
|||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, the University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Mitsubishi UFJ Trust Investment Technology Institute Co.,Ltd. (MTEC) | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a general approximation method for the solutions to second-order parabolic partial differential equations (PDEs) widely used in finance through an extension of Léandre's approach(Léandre (2006,2008)) and the Bismut identiy(e.g. chapter IX-7 of Malliavin (1997)) in Malliavin calculus. We show two types of its applications, new approximations of derivatives prices and short-time asymptotic expansions of the heat kernel. In particular, we provide new approximation formulas for plain-vanilla and barrier option prices under stochastic volatility models. We also derive short-time asymptotic expansions of the heat kernel under general time-homogenous local volatility and local-stochastic volatility models in finance which include Heston (Heston (1993)) and (λ-)SABR models (Hagan et.al. (2002), Labordere (2008)) as special cases. Some numerical examples are shown. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised in January 2012. | |||||
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-815, 発行日 2011-08 |
|||||
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 | 335 | |||||
主題Scheme | NDC | |||||
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/2011/2011cf815ab.html |