{"created":"2021-03-01T07:02:51.152581+00:00","id":42902,"links":{},"metadata":{"_buckets":{"deposit":"7e211345-f5de-44e5-a8de-3161efad8f84"},"_deposit":{"id":"42902","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42902"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042902","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-02","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-787","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 presents a new computational scheme for an asymptotic expansion method of an arbitrary order. An asymptotic expansion method in finance initiated by Kunitomo and Takahashi[9], Yoshida[34] and Takahashi [20], [21] is a widely applicable methodology for an analytic approximation of the expectation of a certain functional of diffusion processes and not only academic researchers but also many practitioners have used the methodology for a variety of financial issues such as pricing or hedging complex derivatives under highdimensional underlying stochastic environments. In practical applications of the expansion, the crucial step is calculation of conditional expectations for a certain kind of Wiener functionals. [20], [21] and Takahashi and Takehara [23] provided explicit formulas of conditional expectations necessary for the asymptotic expansion up to the third order. <改行>This paper presents the new method for computing an arbitrary-order expansion in a general diffusion-type stochastic environment, which is powerful especially for a high-order expansion: This develops a new calculation algorithm for computing coefficients of the expansion through solving a system of ordinary differential equations that is equivalent to computing the conditional expectations. To demonstrate its effectiveness, the paper gives numerical examples of the approximation for the λ-SABR model up to the fifth order and a cross-currency Libor market model with a general stochastic volatility model of the spot foreign exchange rate up to the fourth order","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised version of CIRJE-F-621 (2009); subsequently published in International Journal of Theoretical and Applied Finance Vol. 15, No. 6 (2012).","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/2011/2011cf787ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_28":{"attribute_name":"置換する","attribute_value_mlt":[{"subitem_relation_type":"replaces","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/25747","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, the University of Tokyo"}]},"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":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98655","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takehara, Kohta"}],"nameIdentifiers":[{"nameIdentifier":"98656","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Toda, Masashi"}],"nameIdentifiers":[{"nameIdentifier":"98657","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":"Approximation Formula","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"λ-SABR Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Libor Market Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Currency Options","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":"A General Computation Scheme for a High-Order Asymptotic Expansion Method","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A General Computation Scheme for a High-Order Asymptotic Expansion Method"}]},"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":"42902","relation_version_is_last":true,"title":["A General Computation Scheme for a High-Order Asymptotic Expansion Method"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.470647+00:00"}