{"created":"2021-03-01T07:02:49.188743+00:00","id":42873,"links":{},"metadata":{"_buckets":{"deposit":"d3051218-cb10-4546-aead-725bd28db5b6"},"_deposit":{"id":"42873","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42873"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042873","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-03","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-725","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 proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula in Malliavin calculus is effectively applied in an asymptotic expansion approach. First, the paper derives an expansion formula for generalized Wiener functionals. After it is applied to pricing path-dependent derivatives with discrete monitoring, the paper presents an analytic (approximation) formula for valuation of discrete barrier options under stochastic volatility environment. To our knowledge, this paper is the first one that shows an analytical formula for pricing discrete barrier options with stochastic volatility models. Moreover, it provides numerical examples for pricing double barrier call options with discrete monitoring under the Heston model.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in April 2010, February 2011 and August 2011; forthcoming in Asia Pacific Financial Markets.","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/2010/2010cf725ab.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":"Mizuho-DL Financial Technology Co., Ltd."},{"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":"Shiraya, Kenichiro"}],"nameIdentifiers":[{"nameIdentifier":"98573","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98574","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"98575","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"discrete barrier option","subitem_subject_scheme":"Other"},{"subitem_subject":"barrier option","subitem_subject_scheme":"Other"},{"subitem_subject":"knock-out option","subitem_subject_scheme":"Other"},{"subitem_subject":"double barrier option","subitem_subject_scheme":"Other"},{"subitem_subject":"stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin weight","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":"On Pricing Barrier Options with Discrete Monitoring","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"On Pricing Barrier Options with Discrete Monitoring"}]},"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":"42873","relation_version_is_last":true,"title":["On Pricing Barrier Options with Discrete Monitoring"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.524975+00:00"}