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An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
http://hdl.handle.net/2261/32438
http://hdl.handle.net/2261/3243805595ce4-c02f-4676-a43b-7864db196069
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | discrete barrier option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | barrier option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | knock-out option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin calculus | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | stochastic volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | asymptotic expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin weight | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
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 |
Takahashi, Akihiko
× Takahashi, Akihiko× Yamada, Toshihiro |
|||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, the University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Mitsubishi UFJ Trust Investment Technology Institute Co.,Ltd. (MTEC) | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula in Malliavin calculus is effectively applied in an asymptotic expansion approach. First, the paper derives an expansion formula for generalized Wiener functionals. After it is applied to pricing path-dependent derivatives with discrete monitoring, the paper presents an analytic (approximation) formula for valuation of discrete barrier options under stochastic volatility environment. To our knowledge, this paper is the first one that shows an analytical formula for pricing discrete barrier options with stochastic volatility models. | |||||
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 CIRJE-F-696, 発行日 2009-12 |
|||||
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 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
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/2009/2009cf696ab.html |