{"created":"2021-03-01T07:02:30.533756+00:00","id":42598,"links":{},"metadata":{"_buckets":{"deposit":"4f574bcc-5a85-47b6-b96c-a1b34dc9a8db"},"_deposit":{"id":"42598","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42598"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042598","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-07","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-897","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 unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a partially elliptic diffusion under a multidimensional setting, which includes various important models in finance as the special cases. In particular, we take the Malliavin calculus approach, and estimate the error bounds for the Malliavin weights of both the coefficient and the residual terms in the expansions by effectively applying the properties of Kusuoka-Stroock functions.","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/2013/2013cf897ab.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_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":"Mitsubishi UFJ Trust Investment Technology Institute(MTEC)"}]},"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":"97973","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"97974","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Kusuoka-Stroock functions","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility model","subitem_subject_scheme":"Other"},{"subitem_subject":"Option price","subitem_subject_scheme":"Other"},{"subitem_subject":"Greeks","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":"On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-09-17"},"publish_date":"2013-09-17","publish_status":"0","recid":"42598","relation_version_is_last":true,"title":["On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:42.621713+00:00"}