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Effects of Stochastic Interest Rates and Volatility on Contingent Claims
http://hdl.handle.net/2261/2405
http://hdl.handle.net/2261/240569523a11-c094-415a-a7e1-f12e4494d632
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2012-01-13 | |||||
| タイトル | ||||||
| タイトル | Effects of Stochastic Interest Rates and Volatility on Contingent Claims | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stochastic Interest Rate | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stochastic Volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Contingent Claims | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Futures | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Options | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic Expansion Approach | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Malliavin-Watanabe Calculus | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Near Completeness | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification: G13 | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | 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 |
Kunitomo, Naoto
× Kunitomo, Naoto× Yong-Jin, Kim |
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| 著者所属 | ||||||
| 値 | University of Tokyo | |||||
| 著者所属 | ||||||
| 値 | Tokyo Metropolitan University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | We investigate the effects of the stochastic interest rates and the volatility f the underlying asset price on the contingent claim prices including futures and options prices. The futures price can be decomposed into the forward price and the additional terms and the options price can be decomposed into the Black-Scholes formula and several additional terms via the asymptotic expansion approach in the small disturbance asymptotics developed by Kunitomo and Takahashi(1995,1998,2001), which is based on Malliavin-Watanabe Calculus in stochastic analysis. We illustrate our new formulae and their numerical accuracy by using some modi ed CIR type processes for the short term interest rates and stochastic volatility. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | revised in October 2004; forthcoming in Japanese Economic Review. | |||||
| 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 CF-129, 発行日 2001-09 |
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| 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 | 330 | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 90A09 | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 60H07 | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 60G44 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | 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/2001/2001cf129.pdf | |||||
