{"_buckets": {"deposit": "9f2e77c3-c99b-4ac6-9760-fac02e7ed73f"}, "_deposit": {"id": "40269", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "40269"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00040269"}, "item_4_biblio_info_7": {"attribute_name": "\u66f8\u8a8c\u60c5\u5831", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "1998", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "4", "bibliographicPageEnd": "785", "bibliographicPageStart": "747", "bibliographicVolumeNumber": "5", "bibliographic_titles": [{"bibliographic_title": "Journal of mathematical sciences, the University of Tokyo"}]}]}, "item_4_description_13": {"attribute_name": "\u30d5\u30a9\u30fc\u30de\u30c3\u30c8", "attribute_value_mlt": [{"subitem_description": "application/pdf", "subitem_description_type": "Other"}]}, "item_4_description_5": {"attribute_name": "\u6284\u9332", "attribute_value_mlt": [{"subitem_description": "Passport options are derivatives on actively managed funds. There is no known explicit formula for the price of passport options in general. We estimate and analyze the value function, and give the condition that the optimal strategy becomes trivial. We also show an approximation theorem which enables us to compute the value function numerically. Finally we give the explicit formula for the value function in the case that the interest rate is zero by using stochastic analytic approach. This is somehow done in symmetric case by Hyer, Lipton-Lifschitz, and Pugachevsky using partial differential equation approach.", "subitem_description_type": "Abstract"}]}, "item_4_publisher_20": {"attribute_name": "\u51fa\u7248\u8005", "attribute_value_mlt": [{"subitem_publisher": "Graduate School of Mathematical Sciences, The University of Tokyo"}]}, "item_4_source_id_10": {"attribute_name": "\u66f8\u8a8c\u30ec\u30b3\u30fc\u30c9ID", "attribute_value_mlt": [{"subitem_source_identifier": "AA11021653", "subitem_source_identifier_type": "NCID"}]}, "item_4_source_id_8": {"attribute_name": "ISSN", "attribute_value_mlt": [{"subitem_source_identifier": "13405705", "subitem_source_identifier_type": "ISSN"}]}, "item_4_subject_15": {"attribute_name": "\u65e5\u672c\u5341\u9032\u5206\u985e\u6cd5", "attribute_value_mlt": [{"subitem_subject": "415", "subitem_subject_scheme": "NDC"}]}, "item_4_text_16": {"attribute_name": "Mathematical Reviews Number", "attribute_value_mlt": [{"subitem_text_value": "MR1675249"}]}, "item_4_text_17": {"attribute_name": "Mathmatical Subject Classification", "attribute_value_mlt": [{"subitem_text_value": "90A09(MSC1991)"}, {"subitem_text_value": "60J55(MSC1991)"}]}, "item_4_text_33": {"attribute_name": "\u539f\u7a3f\u53d7\u9818\u65e5", "attribute_value_mlt": [{"subitem_text_value": "1998-05-21"}]}, "item_4_text_34": {"attribute_name": "\u8cc7\u6e90\u30bf\u30a4\u30d7", "attribute_value_mlt": [{"subitem_text_value": "Departmental Bulletin Paper"}]}, "item_creator": {"attribute_name": "\u8457\u8005", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Nagayama, Izumi"}], "nameIdentifiers": [{"nameIdentifier": "138866", "nameIdentifierScheme": "WEKO"}]}]}, "item_files": {"attribute_name": "\u30d5\u30a1\u30a4\u30eb\u60c5\u5831", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_date", "date": [{"dateType": "Available", "dateValue": "2017-06-27"}], "displaytype": "detail", "download_preview_message": "", "file_order": 0, "filename": "jms050406.pdf", "filesize": [{"value": "427.0 kB"}], "format": "application/pdf", "future_date_message": "", "is_thumbnail": false, "licensetype": "license_free", "mimetype": "application/pdf", "size": 427000.0, "url": {"label": "jms050406.pdf", "url": "https://repository.dl.itc.u-tokyo.ac.jp/record/40269/files/jms050406.pdf"}, "version_id": "7686c728-f25d-4cee-bfef-37c4fbc5d55d"}]}, "item_keyword": {"attribute_name": "\u30ad\u30fc\u30ef\u30fc\u30c9", "attribute_value_mlt": [{"subitem_subject": "passport option", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Black \\\u0026 Scholes model", "subitem_subject_scheme": "Other"}]}, "item_language": {"attribute_name": "\u8a00\u8a9e", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "item_resource_type": {"attribute_name": "\u8cc7\u6e90\u30bf\u30a4\u30d7", "attribute_value_mlt": [{"resourcetype": "departmental bulletin paper", "resourceuri": "http://purl.org/coar/resource_type/c_6501"}]}, "item_title": "Pricing of Passport Option", "item_titles": {"attribute_name": "\u30bf\u30a4\u30c8\u30eb", "attribute_value_mlt": [{"subitem_title": "Pricing of Passport Option"}]}, "item_type_id": "4", "owner": "1", "path": ["312/6865/7037/7038", "9/504/6868/7039/7040"], "permalink_uri": "http://hdl.handle.net/2261/1326", "pubdate": {"attribute_name": "\u516c\u958b\u65e5", "attribute_value": "2008-03-04"}, "publish_date": "2008-03-04", "publish_status": "0", "recid": "40269", "relation": {}, "relation_version_is_last": true, "title": ["Pricing of Passport Option"], "weko_shared_id": null}