WEKO3
アイテム
{"_buckets": {"deposit": "9a7cf009-3255-4a5a-b741-7216f6496ba2"}, "_deposit": {"id": "42575", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42575"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042575", "sets": ["7436", "7434"]}, "item_8_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2006-12", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "CIRJE-F-451", "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": "This paper proposes a pricing method of currency options with a market model of interest rates. Using a simple approximation and a Fourier transform method, we derive a formula of the option pricing under jump-diffusion stochastic volatility processes of spot exchange rates. As an application, we apply the formula to the calibration of volatility smiles in the JPY/USD currency option market. Moreover, using the approximate prices as a control variate, we achieve substantial variance reduction in Monte Carlo simulation.", "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/2006/2006cf451ab.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": "330", "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_34": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_text_value": "Discussion Paper"}]}, "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": "Takahashi, Akihiko"}], "nameIdentifiers": [{"nameIdentifier": "97927", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Takehara, Kota"}], "nameIdentifiers": [{"nameIdentifier": "97928", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Yamazaki, Akira"}], "nameIdentifiers": [{"nameIdentifier": "97929", "nameIdentifierScheme": "WEKO"}]}]}, "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": "Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates"}]}, "item_type_id": "8", "owner": "1", "path": ["7436", "7434"], "permalink_uri": "http://hdl.handle.net/2261/4024", "pubdate": {"attribute_name": "公開日", "attribute_value": "2013-06-03"}, "publish_date": "2013-06-03", "publish_status": "0", "recid": "42575", "relation": {}, "relation_version_is_last": true, "title": ["Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates"], "weko_shared_id": null}
Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates
http://hdl.handle.net/2261/4024
http://hdl.handle.net/2261/4024c665c519-dfee-4771-a2f5-2c35ebd7c6ce
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates | |||||
言語 | ||||||
言語 | eng | |||||
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× Takehara, Kota× Yamazaki, Akira |
|||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a pricing method of currency options with a market model of interest rates. Using a simple approximation and a Fourier transform method, we derive a formula of the option pricing under jump-diffusion stochastic volatility processes of spot exchange rates. As an application, we apply the formula to the calibration of volatility smiles in the JPY/USD currency option market. Moreover, using the approximate prices as a control variate, we achieve substantial variance reduction in Monte Carlo simulation. | |||||
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-451, 発行日 2006-12 |
|||||
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 | 330 | |||||
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/2006/2006cf451ab.html |