{"created":"2021-03-01T07:02:51.830352+00:00","id":42912,"links":{},"metadata":{"_buckets":{"deposit":"460d648c-d3c9-445e-8b7d-c3907ea70234"},"_deposit":{"id":"42912","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42912"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042912","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-11","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-824","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 derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in multi-dimensional stochastic volatility models. In particular, the integration-byparts formula in Malliavin calculus and the push-down of Malliavin weights are effectively applied. We provide an expansion formula for generalized Wiener functionals and closed-form approximation formulas in stochastic volatility environment. In addition, we present applications of the general formula to expansions of option prices for the shifted log-normal model with stochastic volatility. Moreover, with some results of Malliavin calculus in jump-type models, we derive an approximation formula for the jump-diffusion model in stochastic volatility environment. Some numerical examples are also shown.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"revised in February 2012; forthcoming in SIAM Journal on Financial Mathematics.","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/2011/2011cf824ab.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/2261/32439","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"},{"subitem_text_value":"Mitsubishi UFJ Trust Investment Technology Institute Co.,Ltd. (MTEC)"}]},"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":"98674","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"98675","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Implied volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Shifted log-normal model","subitem_subject_scheme":"Other"},{"subitem_subject":"Jump-diffusion model","subitem_subject_scheme":"Other"},{"subitem_subject":"Integration-by-parts","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin weight","subitem_subject_scheme":"Other"},{"subitem_subject":"Push-down","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin calculus for Poisson processes","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":"An Asymptotic Expansion with Push-Down of Malliavin Weights","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"An Asymptotic Expansion with Push-Down of Malliavin Weights"}]},"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":"42912","relation_version_is_last":true,"title":["An Asymptotic Expansion with Push-Down of Malliavin Weights"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:02.326590+00:00"}