WEKO3
アイテム
{"_buckets": {"deposit": "53fe4d01-f546-4a96-a31b-ce8d5ea1659a"}, "_deposit": {"id": "42752", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42752"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042752", "sets": ["7436", "7434"]}, "item_8_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2004-09", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "2004-CF-298", "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 present paper, we propose a new computational technique with the Asymptotic Expansion (AE) approach to achieve variance reduction of the Monte-Carlo integration appearing especially in finance. We extend the algorithm developed by Takahashi and Yoshida (2003) to the second order asymptotics. Moreover, we apply the AE to approximate time dependent differentials of the target value in Newton (1994)\u0027s scheme. Our numerical examples include pricing of average and basket options when the underlying state variables follow Constant Elasticity of Variance (CEV) processes.", "subitem_description_type": "Abstract"}]}, "item_8_description_6": {"attribute_name": "内容記述", "attribute_value_mlt": [{"subitem_description": "Revised in June 2005", "subitem_description_type": "Other"}, {"subitem_description": "Advances in Mathematical Economics. 掲載予定.", "subitem_description_type": "Other"}, {"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/2004/2004cf298ab.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_8_text_4": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_value": "University of Tokyo"}, {"subitem_text_value": "Osaka University"}]}, "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": "98318", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Uchida, Yoshihiko"}], "nameIdentifiers": [{"nameIdentifier": "98319", "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": "New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation"}]}, "item_type_id": "8", "owner": "1", "path": ["7436", "7434"], "permalink_uri": "http://hdl.handle.net/2261/2573", "pubdate": {"attribute_name": "公開日", "attribute_value": "2017-01-17"}, "publish_date": "2017-01-17", "publish_status": "0", "recid": "42752", "relation": {}, "relation_version_is_last": true, "title": ["New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation"], "weko_shared_id": null}
New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation
http://hdl.handle.net/2261/2573
http://hdl.handle.net/2261/25735d30a702-182e-40a9-8ced-2dfc7285c941
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation | |||||
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× Uchida, Yoshihiko |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Osaka University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In the present paper, we propose a new computational technique with the Asymptotic Expansion (AE) approach to achieve variance reduction of the Monte-Carlo integration appearing especially in finance. We extend the algorithm developed by Takahashi and Yoshida (2003) to the second order asymptotics. Moreover, we apply the AE to approximate time dependent differentials of the target value in Newton (1994)'s scheme. Our numerical examples include pricing of average and basket options when the underlying state variables follow Constant Elasticity of Variance (CEV) processes. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised in June 2005 | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Advances in Mathematical Economics. 掲載予定. | |||||
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 2004-CF-298, 発行日 2004-09 |
|||||
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/2004/2004cf298ab.html |