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Pricing Average Options on Commodities
http://hdl.handle.net/2261/37290
http://hdl.handle.net/2261/372904b862790-1c64-4d7f-8734-fb7682226dbe
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 Average Options on Commodities | |||||
言語 | ||||||
言語 | eng | |||||
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 |
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著者別名 | ||||||
識別子 | 98614 | |||||
識別子Scheme | WEKO | |||||
姓名 | 白谷, 健一郎 | |||||
著者別名 | ||||||
識別子 | 98615 | |||||
識別子Scheme | WEKO | |||||
姓名 | 高橋, 明彦 | |||||
著者所属 | ||||||
著者所属 | Mizuho-DL Financial Technology Co., Ltd. | |||||
著者所属 | ||||||
著者所属 | Graduate school of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended λ-SABR stochastic volatility models (which includes an extended SABR model as a special case). Moreover, numerical examples support the accuracy of the proposed average option pricing formula. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised version of CIRJE-F-681 (2009), revised in February 2012 ; subsequently published in Journal of Futures Markets, Vol.31-5,407-439, 2011. | |||||
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-747, 発行日 2010-07 |
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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/2010/2010cf747ab.html | |||||
異版あり | ||||||
関連タイプ | hasVersion | |||||
識別子タイプ | URI | |||||
関連識別子 | http://doi.org/10.1002/fut.20481 |