{"created":"2021-03-01T07:01:47.519925+00:00","id":41967,"links":{},"metadata":{"_buckets":{"deposit":"bd782524-5a23-4067-a5ad-e8c3d649de9d"},"_deposit":{"id":"41967","owners":[],"pid":{"revision_id":0,"type":"depid","value":"41967"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00041967","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2001-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CF-129","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":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"revised in October 2004; forthcoming in Japanese Economic Review.","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/2001/2001cf129.pdf","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":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_17":{"attribute_name":"Mathmatical Subject Classification","attribute_value_mlt":[{"subitem_text_value":"90A09"},{"subitem_text_value":"60H07"},{"subitem_text_value":"60G44"}]},"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_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"University of Tokyo"},{"subitem_text_value":"Tokyo Metropolitan University"}]},"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":"Kunitomo, Naoto"}],"nameIdentifiers":[{"nameIdentifier":"96576","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yong-Jin, Kim"}],"nameIdentifiers":[{"nameIdentifier":"96577","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Stochastic Interest Rate","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Contingent Claims","subitem_subject_scheme":"Other"},{"subitem_subject":"Futures","subitem_subject_scheme":"Other"},{"subitem_subject":"Options","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic Expansion Approach","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin-Watanabe Calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Near Completeness","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classification: G13","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":"Effects of Stochastic Interest Rates and Volatility on Contingent Claims","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Effects of Stochastic Interest Rates and Volatility on Contingent Claims"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2012-01-13"},"publish_date":"2012-01-13","publish_status":"0","recid":"41967","relation_version_is_last":true,"title":["Effects of Stochastic Interest Rates and Volatility on Contingent Claims"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:18.595887+00:00"}