{"created":"2021-03-01T07:01:49.846926+00:00","id":42002,"links":{},"metadata":{"_buckets":{"deposit":"fb706aa4-97af-4e7d-b668-dc0b3806e945"},"_deposit":{"id":"42002","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42002"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042002","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Pricing Average Options under Stochastic Volatility Models"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-01","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-J-208","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"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":"本論文は，商品市場では標準的となっている平均オプション(Average Option) の価格評価に関し，2 つの確率ボラティリティ・モデル，Heston モデルとλ-SABR モデルの下で漸近展開を用いた近似評価式を導出し，数値例によりその精度を検証する．","subitem_description_type":"Abstract"},{"subitem_description":"This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and λ(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI futures options prices in NYMEX confirm the effectiveness of our formula.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"96651","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Shiraya, Kenichiro"}]},{"nameIdentifiers":[{"nameIdentifier":"96652","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Takahashi, Akihiko"}]},{"nameIdentifiers":[{"nameIdentifier":"96653","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Toda, Masashi"}]}]},"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/2009/2009cj208ab.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":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"331","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_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"みずほ第一フィナンシャルテクノロジー株式会社"},{"subitem_text_value":"東京大学大学院経済学研究科"}]},"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":"白谷, 健一郎"}],"nameIdentifiers":[{"nameIdentifier":"96648","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"高橋, 明彦"}],"nameIdentifiers":[{"nameIdentifier":"96649","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"戸田, 真史"}],"nameIdentifiers":[{"nameIdentifier":"96650","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"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":"確率ボラティリティ・モデルの下での平均オプションのプライシングについて","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"確率ボラティリティ・モデルの下での平均オプションのプライシングについて"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42002","relation_version_is_last":true,"title":["確率ボラティリティ・モデルの下での平均オプションのプライシングについて"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:20.822546+00:00"}