{"created":"2021-03-01T07:20:36.735569+00:00","id":41165,"links":{},"metadata":{"_buckets":{"deposit":"19afdcba-27dc-4ccd-9ee2-a43e27717c7d"},"_deposit":{"id":"41165","owners":[],"pid":{"revision_id":0,"type":"depid","value":"41165"},"status":"published"},"_oai":{"id":"oai:tsukuba.repo.nii.ac.jp:00041165","sets":["3:62:5592:5900","469:5882"]},"item_5_biblio_info_6":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2014-12","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"2","bibliographicPageEnd":"55","bibliographicPageStart":"31","bibliographicVolumeNumber":"18","bibliographic_titles":[{"bibliographic_title":"The journal of computational finance"}]}]},"item_5_creator_3":{"attribute_name":"著者別名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"山田, 雄二"}],"nameIdentifiers":[{},{},{}]}]},"item_5_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Efficient kernel summation is an active research topic in machine learning and computational physics. Fast multipole methods (FMMs) in particular are known as efficient computational methods in these fields, but they have not gained much attention in computational finance. In this paper,we apply the improved fast Gauss transform (IFGT), a version of an FMM, to the computation of European-type option prices under Merton's jump-diffusion model. IFGT is applied to computing the nonlocal integral terms in partial integrodifferential equations, and our results indicate that IFGT is useful for the fast computation of option pricing under this model.","subitem_description_type":"Abstract"}]},"item_5_publisher_27":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Incisive Media"}]},"item_5_relation_11":{"attribute_name":"DOI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"10.21314/JCF.2014.276","subitem_relation_type_select":"DOI"}}]},"item_5_select_15":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_select_item":"publisher"}]},"item_5_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1460-1559","subitem_source_identifier_type":"ISSN"}]},"item_5_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11248488","subitem_source_identifier_type":"NCID"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Sakuma, Takayuki"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Yamada, Yuji"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-05-17"}],"displaytype":"detail","filename":"JCF_18-2.pdf","filesize":[{"value":"878.9 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"JCF_18-2","url":"https://tsukuba.repo.nii.ac.jp/record/41165/files/JCF_18-2.pdf"},"version_id":"fd02ee6a-b9a2-406f-bdb2-881649b79e8b"}]},"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":"journal article","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Application of the improved fast Gauss transform to option pricing under jump-diffusion processes","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Application of the improved fast Gauss transform to option pricing under jump-diffusion processes"}]},"item_type_id":"5","owner":"1","path":["5882","5900"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-05-17"},"publish_date":"2017-05-17","publish_status":"0","recid":"41165","relation_version_is_last":true,"title":["Application of the improved fast Gauss transform to option pricing under jump-diffusion processes"],"weko_creator_id":"1","weko_shared_id":5},"updated":"2022-04-27T09:12:00.566681+00:00"}