{"created":"2021-03-01T06:59:52.077577+00:00","id":40269,"links":{},"metadata":{"_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","sets":["312:6865:7037:7038","9:504:6868:7039:7040"]},"item_4_biblio_info_7":{"attribute_name":"書誌情報","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":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_4_description_5":{"attribute_name":"抄録","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":"出版者","attribute_value_mlt":[{"subitem_publisher":"Graduate School of Mathematical Sciences, The University of Tokyo"}]},"item_4_source_id_10":{"attribute_name":"書誌レコードID","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":"日本十進分類法","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":"原稿受領日","attribute_value_mlt":[{"subitem_text_value":"1998-05-21"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Nagayama, Izumi"}],"nameIdentifiers":[{"nameIdentifier":"138866","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-06-27"}],"displaytype":"detail","filename":"jms050406.pdf","filesize":[{"value":"427.0 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","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":"キーワード","attribute_value_mlt":[{"subitem_subject":"passport option","subitem_subject_scheme":"Other"},{"subitem_subject":"Black \\& Scholes model","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":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Pricing of Passport Option","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Pricing of Passport Option"}]},"item_type_id":"4","owner":"1","path":["7038","7040"],"pubdate":{"attribute_name":"公開日","attribute_value":"2008-03-04"},"publish_date":"2008-03-04","publish_status":"0","recid":"40269","relation_version_is_last":true,"title":["Pricing of Passport Option"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:15:32.566396+00:00"}