{"created":"2021-03-01T07:02:57.830018+00:00","id":42999,"links":{},"metadata":{"_buckets":{"deposit":"f1eeefe3-c901-4155-bd51-ab07d353f56d"},"_deposit":{"id":"42999","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42999"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042999","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-625","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 studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised Version of CIRJE-F-596 (2008);　electronic version of an article will be published in International Journal of Theoretical and Applied Finance c [copyright World Scientific Publishing Company][http://www.worldscinet.com/ijtaf/]","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/2009/2009cf625ab.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"},{"subitem_text_value":"Institute of Statistical Mathematics"}]},"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":"Yamamoto, Kyo"}],"nameIdentifiers":[{"nameIdentifier":"98881","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Seisho, Sato"}],"nameIdentifiers":[{"nameIdentifier":"98882","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Akihiko, Takahashi"}],"nameIdentifiers":[{"nameIdentifier":"98883","nameIdentifierScheme":"WEKO"}]}]},"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":"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environmen","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environmen"}]},"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":"42999","relation_version_is_last":true,"title":["Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environmen"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:03.872678+00:00"}