{"created":"2021-03-01T07:02:49.459602+00:00","id":42877,"links":{},"metadata":{"_buckets":{"deposit":"5a5db7db-2b7d-4280-8697-175201eb83ab"},"_deposit":{"id":"42877","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42877"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042877","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-05","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-745","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 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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised version of CIRJE-F-682 (2009); subsequently published in the Journal of Computational Finance, Volume 14/Number 2, Winter 2011/12.","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_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98587","nameIdentifierScheme":"WEKO"}],"names":[{"name":"高橋, 明彦"}]}]},"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/2010/2010cf745ab.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, University of Tokyo"},{"subitem_text_value":"Mizuho-DL Financial Technology Co., Ltd."}]},"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":"98584","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98585","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Toda, Masashi"}],"nameIdentifiers":[{"nameIdentifier":"98586","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"barrier option","subitem_subject_scheme":"Other"},{"subitem_subject":"average option","subitem_subject_scheme":"Other"},{"subitem_subject":"knock-out option","subitem_subject_scheme":"Other"},{"subitem_subject":"stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"static hedge","subitem_subject_scheme":"Other"},{"subitem_subject":"asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"λ-SABR model","subitem_subject_scheme":"Other"},{"subitem_subject":"SABR mode","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":"Pricing Barrier and Average Options under Stochastic Volatility Environment","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Pricing Barrier and Average Options under Stochastic Volatility Environment"}]},"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":"42877","relation_version_is_last":true,"title":["Pricing Barrier and Average Options under Stochastic Volatility Environment"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.691957+00:00"}