{"_buckets": {"deposit": "03a9e953-0dbc-4a61-938a-506a9768bc29"}, "_deposit": {"created_by": 2, "id": "965", "owners": [2], "pid": {"revision_id": 0, "type": "depid", "value": "965"}, "status": "published"}, "_oai": {"id": "oai:kutarr.kochi-tech.ac.jp:00000965", "sets": ["21"]}, "author_link": ["2584"], "item_5_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2009-03", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "1", "bibliographicVolumeNumber": "5", "bibliographic_titles": [{"bibliographic_title": "Society for Social Management Systems Internet Journal"}]}]}, "item_5_description_4": {"attribute_name": "抄録", "attribute_value_mlt": [{"subitem_description": "Recently, subprime loan problem is a hotly debated issue around the world. In this paper, binominal option approach is adopted to surmise the binominal option value of ABX.HE Index1 by changing its volatility. A nonrecombining lattice is required to solve the option. Suppose that the current value of ABX.HE Index is US$α ,its annual volatility isβ percent, risk free rate isγ percent. We can calculate the value of a three year option to abandon for a price of US$δ. We simulate the change of solution when the annual volatility changes through time. We notice there is a tendency that higher credit ratings and worse scenarios have a leeway of more flexibility. Especially, we can find out the significant difference between second quarter and third quarter. Apparently, we can see the tendency that higher credit ratings indexes are highly correlated with lower credit ratings indexes.", "subitem_description_type": "Abstract"}]}, "item_5_publisher_36": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "Society for Social Management Systems"}]}, "item_5_source_id_11": {"attribute_name": "ISSN", "attribute_value_mlt": [{"subitem_source_identifier": "2432-552X", "subitem_source_identifier_type": "ISSN"}]}, "item_5_version_type_19": {"attribute_name": "著者版フラグ", "attribute_value_mlt": [{"subitem_version_resource": "http://purl.org/coar/version/c_970fb48d4fbd8a85", "subitem_version_type": "VoR"}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Watanabe, Yasuaki"}], "nameIdentifiers": [{"nameIdentifier": "2584", "nameIdentifierScheme": "WEKO"}]}]}, "item_files": {"attribute_name": "ファイル情報", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_date", "date": [{"dateType": "Available", "dateValue": "2019-02-13"}], "displaytype": "detail", "download_preview_message": "", "file_order": 0, "filename": "SMS09-137.pdf", "filesize": [{"value": "131.9 kB"}], "format": "application/pdf", "future_date_message": "", "is_thumbnail": false, "licensetype": "license_free", "mimetype": "application/pdf", "size": 131900.0, "url": {"label": "SMS09-137.pdf", "url": "https://kutarr.kochi-tech.ac.jp/record/965/files/SMS09-137.pdf"}, "version_id": "b875b74f-befb-4455-b7f3-e5fb76f319bb"}]}, "item_keyword": {"attribute_name": "キーワード", "attribute_value_mlt": [{"subitem_subject": "Subprime Loan Problem", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Binominal Option", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Volatility", "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": "conference paper", "resourceuri": "http://purl.org/coar/resource_type/c_5794"}]}, "item_title": "Binominal Changing Volatility Approach to Subprime Loan Problem", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "Binominal Changing Volatility Approach to Subprime Loan Problem"}]}, "item_type_id": "5", "owner": "2", "path": ["21"], "permalink_uri": "http://hdl.handle.net/10173/1754", "pubdate": {"attribute_name": "公開日", "attribute_value": "2018-02-06"}, "publish_date": "2018-02-06", "publish_status": "0", "recid": "965", "relation": {}, "relation_version_is_last": true, "title": ["Binominal Changing Volatility Approach to Subprime Loan Problem"], "weko_shared_id": -1}