{"created":"2021-03-01T07:02:56.932114+00:00","id":42986,"links":{},"metadata":{"_buckets":{"deposit":"4a526c79-dfb5-4f01-8e7a-fa5449ecde2e"},"_deposit":{"id":"42986","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42986"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042986","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2008-01","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-538","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 develops a Fourier transform method with an asymptotic expansion approach for option pricing. The method is applied to European currency options with a libor market model of interest rates and jump-diffusion stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas of the characteristic functions of log-prices of the underlying assets and the prices of currency options based on a third order asymptotic expansion scheme; we use a jump-diffusion model with a mean-reverting stochastic variance process such as in Heston[1993]/Bates[1996] and log-normal market models for domestic and foreign interest rates. Finally, the validity of our method is confirmed through numerical examples.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised Version of CIRJE-F-497; forthcoming in International Journal of Theoretical and Applied Finance;. Revised in February 2008.","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/2008/2008cf538ab.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":"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":"98853","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takehara, Kohta"}],"nameIdentifiers":[{"nameIdentifier":"98854","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Currency option","subitem_subject_scheme":"Other"},{"subitem_subject":"libor market model","subitem_subject_scheme":"Other"},{"subitem_subject":"stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Fourier transform","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":"Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Fourier Transform Method with an Asymptotic Expansion Approach: an Application to 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":"42986","relation_version_is_last":true,"title":["Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:03.030991+00:00"}