{"created":"2021-03-01T07:02:37.561931+00:00","id":42702,"links":{},"metadata":{"_buckets":{"deposit":"c475b0b8-3a43-4966-ba34-fb6b275495da"},"_deposit":{"id":"42702","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42702"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042702","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2005-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-338","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":"We developed a new scheme for computing \"Greeks\"of derivatives by an asymptotic expansion approach. In particular, we derived analytical approximation formulae for deltas and vegas of plain vanilla and average call options under general Markovian processes of underlying asset prices. We also derived approximation formulae for gammas of plain vanilla and average call options, and for deltas of digital options under CEV(Constant Elasticity of Variance) processes of underlying assets'prices. Moreover, we introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion scheme. Finally, several numerical examples under CEV processes confirmed the validity of our 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/2005/2005cf338ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_27":{"attribute_name":"置換される","attribute_value_mlt":[{"subitem_relation_type":"isReplacedBy","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/2641","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_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":"Matsuoka, Ryosuke"}],"nameIdentifiers":[{"nameIdentifier":"98200","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98201","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":"A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-05"},"publish_date":"2017-01-05","publish_status":"0","recid":"42702","relation_version_is_last":true,"title":["A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:16:30.844248+00:00"}