{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1390282680744770816.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.11540/jsiamt.16.3_291"}},{"identifier":{"@type":"NDL_BIB_ID","@value":"8533744"}},{"identifier":{"@type":"URI","@value":"http://id.ndl.go.jp/bib/8533744"}},{"identifier":{"@type":"URI","@value":"https://ndlsearch.ndl.go.jp/books/R000000004-I8533744"}},{"identifier":{"@type":"NAID","@value":"110004833377"}}],"dc:title":[{"@language":"ja","@value":"新型のバリアオプション-Lizard Option-の提案とVariance Gammaモデルの下での価格評価例(応用,数理ファイナンス,<特集>平成18年研究部会連合発表会)"},{"@language":"en","@value":"A New Type of Barrier Options : Lizard Option(Application,Mathematical Finance)"},{"@value":"新型のバリアオプション-Lizard Option-の提案とVariance Gammaモデルの下での価格評価例"},{"@language":"ja-Kana","@value":"シンガタ ノ バリアオプション Lizard Option ノ テイアン ト Variance Gamma モデル ノ モト デ ノ カカク ヒョウカレイ"}],"dc:language":"ja","description":[{"type":"abstract","notation":[{"@language":"en","@value":"In this paper, we introduce a new type of barrier options, that is, Lizard Option. The most brand-new point is that its payoff explicitly includes stock prices in the first passage time to a given barrier level and right before this time. Then, basing on the risk-neutral valuation, we analytically price Lizard Option under the Variance Gamma model. At the same time, we also obtain an analytical valuation of one touch barrier option."}],"abstractLicenseFlag":"disallow"}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1410282680744770816","@type":"Researcher","personIdentifier":[{"@type":"NRID","@value":"9000006197849"}],"foaf:name":[{"@language":"ja","@value":"川西 泰裕"},{"@language":"en","@value":"Kawanishi Yasuhiro"}],"jpcoar:affiliationName":[{"@language":"en","@value":"Graduate School of Commerce and Management, Hitotsubashi University"},{"@language":"ja","@value":"一橋大学大学院商学研究科"}]}],"publication":{"publicationIdentifier":[{"@type":"EISSN","@value":"24240982"},{"@type":"NDL_BIB_ID","@value":"000000077474"},{"@type":"ISSN","@value":"09172246"},{"@type":"LISSN","@value":"09172246"},{"@type":"NCID","@value":"AN10367166"}],"prism:publicationName":[{"@language":"ja","@value":"日本応用数理学会論文誌"},{"@language":"en","@value":"Transactions of the Japan Society for Industrial and Applied Mathematics"},{"@language":"ja","@value":"応数論文誌"},{"@language":"en","@value":"TJSIAM"}],"dc:publisher":[{"@language":"en","@value":"The Japan Society for Industrial and Applied Mathematics"},{"@language":"ja","@value":"一般社団法人 日本応用数理学会"}],"prism:publicationDate":"2006","prism:volume":"16","prism:number":"3","prism:startingPage":"291","prism:endingPage":"303"},"url":[{"@id":"http://id.ndl.go.jp/bib/8533744"},{"@id":"https://ndlsearch.ndl.go.jp/books/R000000004-I8533744"}],"availableAt":"2006","relatedProduct":[{"@id":"https://cir.nii.ac.jp/crid/1570009750603734656","@type":"Article","relationType":["cites"]},{"@id":"https://cir.nii.ac.jp/crid/1570291225580442368","@type":"Article","relationType":["cites"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Brownian excursions and Parisian barrier options"}]},{"@id":"https://cir.nii.ac.jp/crid/1570854175533862016","@type":"Article","relationType":["cites"]},{"@id":"https://cir.nii.ac.jp/crid/1572543025394125440","@type":"Article","relationType":["cites"]},{"@id":"https://cir.nii.ac.jp/crid/1572543025394130176","@type":"Article","relationType":["cites"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals"}]},{"@id":"https://cir.nii.ac.jp/crid/1573105975347548032","@type":"Article","relationType":["cites"]},{"@id":"https://cir.nii.ac.jp/crid/1573387450324261376","@type":"Article","relationType":["cites"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Empirical properties of asset returns : stylized facts and statistical issues"}]},{"@id":"https://cir.nii.ac.jp/crid/1573668925300967168","@type":"Article","relationType":["cites"]},{"@id":"https://cir.nii.ac.jp/crid/1573668925300968448","@type":"Article","relationType":["cites"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Parisian pricing"}]},{"@id":"https://cir.nii.ac.jp/crid/1573668925300972416","@type":"Article","relationType":["cites"]},{"@id":"https://cir.nii.ac.jp/crid/1573950400277680384","@type":"Article","relationType":["cites"],"jpcoar:relatedTitle":[{"@language":"en","@value":"Barrier options and touch-and-out options under regular Levy processes of exponential type"}]}],"dataSourceIdentifier":[{"@type":"JALC","@value":"oai:japanlinkcenter.org:2002116732"},{"@type":"NDL_SEARCH","@value":"oai:ndlsearch.ndl.go.jp:R000000004-I8533744"},{"@type":"CIA","@value":"110004833377"}]}