{"created":"2021-03-01T07:02:47.760583+00:00","id":42852,"links":{},"metadata":{"_buckets":{"deposit":"c2c3c426-d3fb-42c0-aaef-b5ab8efd9166"},"_deposit":{"id":"42852","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42852"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042852","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-695","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 derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in a stochastic volatility model. In particular, the integration-by-parts formula in Malliavin calculus and the push-down of Malliavin weights are effectively applied, which provides an expansion formula for generalized Wiener functionals and the closed-form approximation formulas in stochastic volatility environment. In addition, it presents applications of the general formula to a local volatility expansion in the stochastic volatility model and expansions of option prices in the shifted log-normal and jump-diffusion models with stochastic volatilities. Finally, with an application of the Bismut identity the paper shows an expansion of the solution to the partial differential equation for pricing in a stochastic volatility model.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in January 2010, August 2010 and April 2011","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/2009/2009cf695ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_28":{"attribute_name":"置換する","attribute_value_mlt":[{"subitem_relation_type":"replaces","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/50185","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"},{"subitem_text_value":"Mitsubishi UFJ Trust Investment Technology Institute Co.,Ltd. (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":"98514","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"98515","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Implied volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Local volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Shifted log-normal model","subitem_subject_scheme":"Other"},{"subitem_subject":"Jump-diffusion model","subitem_subject_scheme":"Other"},{"subitem_subject":"Integration-by-parts","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin weight","subitem_subject_scheme":"Other"},{"subitem_subject":"Push-down","subitem_subject_scheme":"Other"},{"subitem_subject":"Bismut identity","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":"An Asymptotic Expansion with Push-Down of Malliavin Weights","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"An Asymptotic Expansion with Push-Down of 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":"42852","relation_version_is_last":true,"title":["An Asymptotic Expansion with Push-Down of Malliavin Weights"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.117163+00:00"}