{"created":"2021-03-01T07:02:49.729900+00:00","id":42881,"links":{},"metadata":{"_buckets":{"deposit":"8940d855-4990-4381-aec0-0bea8c366687"},"_deposit":{"id":"42881","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42881"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042881","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-07","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-753","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":"Recently, not only academic researchers but also many practitioners have used the methodology so-called \"an asymptotic expansion method\" in their proposed techniques for a variety of financial issues. e.g. pricing or hedging complex derivatives under high-dimensional stochastic environments. This methodology is mathematically justified by Watanabe theory(Watanabe [1987], Yoshida [1992a,b]) in Malliavin calculus and essentially based on the framework initiated by Kunitomo and Takahashi [2003], Takahashi [1995,1999] in a financial context. In practical applications, it is desirable to investigate the accuracy and stability of the method especially with expansion up to high orders in situations where the underlying processes are highly volatile as seen in recent financial markets.<改行>After Takahashi [1995,1999] and Takahashi and Takehara [2007] had provided explicit formulas for the expansion up to the third order, Takahashi, Takehara and Toda [2009] develops general computation schemes and formulas for an arbitrary-order expansion under general diffusion-type stochastic environments.<改行>In this paper, we describe them in a simple setting to illustrate thier key idea, and to demonstrate their effectiveness apply them to pricing long-term currency options under a cross-currency Libor market model and a general stochastic volatility of a spot exchange rate with maturities up to twenty years.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Subsequently published in The International Journal of Business and Finance Research, vol. 5-3, 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_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98597","nameIdentifierScheme":"WEKO"}],"names":[{"name":"竹原, 浩太"}]},{"nameIdentifiers":[{"nameIdentifier":"98598","nameIdentifierScheme":"WEKO"}],"names":[{"name":"戸田, 真史"}]},{"nameIdentifiers":[{"nameIdentifier":"98599","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/2010/2010cf753ab.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":"Research Fellow of the Japan Society for the Promotion of Science"}]},"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":"Takehara, Kohta"}],"nameIdentifiers":[{"nameIdentifier":"98594","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Toda, Masashi"}],"nameIdentifiers":[{"nameIdentifier":"98595","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98596","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymptotic Expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin Calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Libor Market Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Currency Options","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classification: C63, G13","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":"Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options"}]},"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":"42881","relation_version_is_last":true,"title":["Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.632478+00:00"}