{"created":"2021-03-01T07:02:46.330475+00:00","id":42831,"links":{},"metadata":{"_buckets":{"deposit":"79b04dd7-f260-4c53-85fd-c1f7d9289e69"},"_deposit":{"id":"42831","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42831"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042831","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2012-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-860","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 note presents an extension of a general computational scheme of an asymptotic expansion proposed by our previous works([47], [41], [42]). In particular, through change of variable technique as well as the various ways of setting perturbation parameters in an expansion, we provide flexibility of setting the benchmark distribution around which the expansion is made, and an automatic way for computation up to an arbitrary order in the expansion. For instance, we introduce new expansions so called Log-normal expansion and CEV expansion. We also show some concrete examples with numerical experiment, which implies a high order CEV expansion will produce more precise and stable approximation for option pricing under SABR model than existing approximation methods.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in January 2013.","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/2012/2012cf860ab.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":"335","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_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Economics, the University of Tokyo"}]},"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":"98471","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Toda, Masashi"}],"nameIdentifiers":[{"nameIdentifier":"98472","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":"Note on an Extension of an Asymptotic Expansion Scheme","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Note on an Extension of an Asymptotic Expansion Scheme"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42831","relation_version_is_last":true,"title":["Note on an Extension of an Asymptotic Expansion Scheme"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:59.410549+00:00"}