{"created":"2021-03-01T07:02:46.873792+00:00","id":42839,"links":{},"metadata":{"_buckets":{"deposit":"4922802c-7224-4c25-856b-3fc3fa414420"},"_deposit":{"id":"42839","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42839"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042839","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-909","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 develops a new efficient scheme for approximations of expectations of the solutions to stochastic differential equations (SDEs). In particular, we present a method for connecting approximate operators based on an asymptotic expansion with multidimensional Malliavin weights to compute a target expectation value precisely. The mathematical validity is given based on Watanabe and Kusuoka theories in Malliavin calculus. Moreover, numerical experiments for option pricing under local and stochastic volatility models confirm the effectiveness of our scheme. Especially, our weak approximation substantially improve the accuracy at deep Out-of-The-Moneys (OTMs).","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in January 2014.","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/2013/2013cf909ab.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":"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":"98484","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"98485","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Weak approximation","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Watanabe theory","subitem_subject_scheme":"Other"},{"subitem_subject":"Kusuoka Scheme","subitem_subject_scheme":"Other"},{"subitem_subject":"Option pricing","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":"A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights"}]},"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":"42839","relation_version_is_last":true,"title":["A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.364870+00:00"}