{"_buckets": {"deposit": "7f04434a-2714-4533-a41f-9add119078c3"}, "_deposit": {"id": "42780", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42780"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042780"}, "item_8_biblio_info_7": {"attribute_name": "\u66f8\u8a8c\u60c5\u5831", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2005-09", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "CIRJE-F-366", "bibliographic_titles": [{"bibliographic_title": "Discussion paper series. CIRJE-F"}]}]}, "item_8_description_13": {"attribute_name": "\u30d5\u30a9\u30fc\u30de\u30c3\u30c8", "attribute_value_mlt": [{"subitem_description": "application/pdf", "subitem_description_type": "Other"}]}, "item_8_description_5": {"attribute_name": "\u6284\u9332", "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 av-erage European call options under general Markovian processes of underlying asset prices. Moreover, we introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion scheme. 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