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Pricing Barrier and Average Options under Stochastic Volatility Environment
http://hdl.handle.net/2261/36137
http://hdl.handle.net/2261/36137000ac3f3-7ae6-46c3-bbc3-2dacd3e5597b
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Pricing Barrier and Average Options under Stochastic Volatility Environment | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | barrier option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | average option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | knock-out option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | stochastic volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | static hedge | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | asymptotic expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | λ-SABR model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | SABR mode | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Shiraya, Kenichiro
× Shiraya, Kenichiro× Takahashi, Akihiko× Toda, Masashi |
|||||
著者別名 | ||||||
識別子 | 98587 | |||||
識別子Scheme | WEKO | |||||
姓名 | 高橋, 明彦 | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Mizuho-DL Financial Technology Co., Ltd. | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach. In particular, a high-order expansion scheme for general multi-dimensional diffusion processes is effectively applied. Moreover, the paper combines a static hedging method with the asymptotic expansion method for pricing barrier options. Finally, numerical examples show that the fourth or fifth-order asymptotic expansion scheme provides sufficiently accurate approximations under the λ-SABR and SABR models. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised version of CIRJE-F-682 (2009); subsequently published in the Journal of Computational Finance, Volume 14/Number 2, Winter 2011/12. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-745, 発行日 2010-05 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf745ab.html |