{"created":"2021-03-01T07:02:04.692780+00:00","id":42219,"links":{},"metadata":{"_buckets":{"deposit":"4254fea1-6266-41b2-87ff-810f71f99321"},"_deposit":{"id":"42219","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42219"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042219","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2012-11","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-871","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":"In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise premium can be cast into the form of a decoupled non-linear FBSDE. We numerically solve the FBSDE by applying an interacting particle method recently proposed by Fujii & Takahashi (2012d), which allows one to perform a Monte Carlo simulation in a fully forward-looking manner. We perform the fourth-order analysis for the Black-Scholes (BS) model and the third-order analysis for the Heston model. The comparison to those obtained from existing tree algorithms shows the effectiveness of the particle method.","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_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/2012/2012cf871ab.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":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","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":"Graduate School of Economics, The University of Tokyo"},{"subitem_text_value":"The Institute of Statistical Mathematics"},{"subitem_text_value":"Graduate School of Economics, The University of Tokyo"}]},"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":"Fujii, Masaaki"}],"nameIdentifiers":[{"nameIdentifier":"97168","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Sato, Seisho"}],"nameIdentifiers":[{"nameIdentifier":"97169","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"97170","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"BSDE","subitem_subject_scheme":"Other"},{"subitem_subject":"FBSDE","subitem_subject_scheme":"Other"},{"subitem_subject":"asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"perturbation","subitem_subject_scheme":"Other"},{"subitem_subject":"particle method","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":"An FBSDE Approach to American Option Pricing with an Interacting Particle Method","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"An FBSDE Approach to American Option Pricing with an Interacting Particle Method"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42219","relation_version_is_last":true,"title":["An FBSDE Approach to American Option Pricing with an Interacting Particle Method"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:25.672200+00:00"}