{"metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00075522","sets":["934:989:6318:6491"]},"path":["6491"],"owner":"11","recid":"75522","title":["ボラティリティの予測手法とデルタヘッジ戦略の収益性"],"pubdate":{"attribute_name":"公開日","attribute_value":"2011-07-20"},"_buckets":{"deposit":"4736dfcd-1cac-4e63-ac51-04585b0f112e"},"_deposit":{"id":"75522","pid":{"type":"depid","value":"75522","revision_id":0},"owners":[11],"status":"published","created_by":11},"item_title":"ボラティリティの予測手法とデルタヘッジ戦略の収益性","author_link":["0","0"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"ボラティリティの予測手法とデルタヘッジ戦略の収益性"},{"subitem_title":"Volatility Forecasting and Profitability of Delta Hedging Strategy","subitem_title_language":"en"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"オリジナル論文","subitem_subject_scheme":"Other"}]},"item_type_id":"3","publish_date":"2011-07-20","item_3_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"電気通信大学"},{"subitem_text_value":"電気通信大学"}]},"item_3_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"The University of Electro-Communications","subitem_text_language":"en"},{"subitem_text_value":"The University of Electro-Communications","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/75522/files/IPSJ-TOM0403002.pdf"},"date":[{"dateType":"Available","dateValue":"2013-07-20"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-TOM0403002.pdf","filesize":[{"value":"729.5 kB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"17"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"b9644b00-8c35-431c-a3c3-3fd282d16bab","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2011 by the Information Processing Society of Japan"}]},"item_3_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"田中, 健太郎"},{"creatorName":"宮崎, 浩一"}],"nameIdentifiers":[{}]}]},"item_3_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kentaro, Tanaka","creatorNameLang":"en"},{"creatorName":"Koichi, Miyazaki","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_3_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11464803","subitem_source_identifier_type":"NCID"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_6501","resourcetype":"journal article"}]},"item_3_source_id_11":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1882-7780","subitem_source_identifier_type":"ISSN"}]},"item_3_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"本研究では，オプションのデルタヘッジ戦略への利用をふまえて，将来の実現ボラティリティを予測するモデルを提案し，既存モデルに基づく場合とデルタヘッジ戦略の収益性を比較検討する．提案モデルは，実現ボラティリティとインプライドボラティリティの比に関する時系列データを利用したものであり，デルタヘッジ戦略の収益性は，既存モデルによるものよりも高い．実証分析では，この結果がどのようなメカニズムから生じるかについても詳細に検討する．","subitem_description_type":"Other"}]},"item_3_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"In this research, we propose a new volatility forecasting model to utilize it for delta hedging strategy and then examine its profitability in comparison with various kinds of existing models. The building block of our model is time series data of ratio of implied volatility to realized volatility. The profitability of the delta hedging strategy adopting our model is superior to those utilizing prominent existing models. In empirical analyses, we examine where the superiority of our model comes from in detail.","subitem_description_type":"Other"}]},"item_3_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"13","bibliographic_titles":[{"bibliographic_title":"情報処理学会論文誌数理モデル化と応用（TOM）"}],"bibliographicPageStart":"1","bibliographicIssueDates":{"bibliographicIssueDate":"2011-07-20","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3","bibliographicVolumeNumber":"4"}]},"relation_version_is_last":true,"weko_creator_id":"11"},"id":75522,"updated":"2025-01-21T21:11:17.598427+00:00","links":{},"created":"2025-01-18T23:32:36.321664+00:00"}