{"id":"https://openalex.org/W1491486576","doi":"https://doi.org/10.1016/b978-075068321-0.50007-8","title":"Bayesian analysis of the Black-Scholes option price","display_name":"Bayesian analysis of the Black-Scholes option price","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W1491486576","doi":"https://doi.org/10.1016/b978-075068321-0.50007-8","mag":"1491486576"},"language":"en","primary_location":{"id":"doi:10.1016/b978-075068321-0.50007-8","doi":"https://doi.org/10.1016/b978-075068321-0.50007-8","is_oa":false,"landing_page_url":"https://doi.org/10.1016/b978-075068321-0.50007-8","pdf_url":null,"source":{"id":"https://openalex.org/S4306463230","display_name":"Elsevier eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Forecasting Expected Returns in the Financial Markets","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W585449085","display_name":"Forecasting Expected Returns in the Financial Markets"},"type":"book-chapter","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5055123626","display_name":"Theofanis Darsinos","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Theo Darsinos","raw_affiliation_strings":["Faculty of Economics, University of Cambridge, Cambridge CB2 1TQ, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, University of Cambridge, Cambridge CB2 1TQ, UK","institution_ids":["https://openalex.org/I241749"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001318457","display_name":"Stephen Satchell","orcid":"https://orcid.org/0000-0002-5258-762X","observed_orcids":["https://orcid.org/0000-0002-5258-762X"]},"institutions":[{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Stephen Satchell","raw_affiliation_strings":["Faculty of Economics, University of Cambridge, Cambridge CB2 1TQ, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, University of Cambridge, Cambridge CB2 1TQ, UK","institution_ids":["https://openalex.org/I241749"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I241749"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.06862217,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":93},"biblio":{"volume":null,"issue":null,"first_page":"117","last_page":"150"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black-scholes-option-pricing","display_name":"Black-Scholes option pricing","score":0.9399999976158142},{"id":"https://openalex.org/keywords/european-call-options","display_name":"European call options","score":0.9049999713897705},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.8560000061988831},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.7940000295639038},{"id":"https://openalex.org/keywords/asset-return-distribution","display_name":"asset return distribution","score":0.5299999713897705}],"concepts":[{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.7458836436271667},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.541166365146637},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4884583055973053},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.4864647090435028},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4405595064163208},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3793487548828125},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33020663261413574},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15517207980155945},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.04521536827087402}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/b978-075068321-0.50007-8","doi":"https://doi.org/10.1016/b978-075068321-0.50007-8","is_oa":false,"landing_page_url":"https://doi.org/10.1016/b978-075068321-0.50007-8","pdf_url":null,"source":{"id":"https://openalex.org/S4306463230","display_name":"Elsevier eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Forecasting Expected Returns in the Financial Markets","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320322381","display_name":"A.G. Leventis Foundation","ror":"https://ror.org/01qkhz224"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":58,"referenced_works":["https://openalex.org/W598929452","https://openalex.org/W982383590","https://openalex.org/W1497179728","https://openalex.org/W1503295912","https://openalex.org/W1505328326","https://openalex.org/W1513659066","https://openalex.org/W1590790703","https://openalex.org/W1606342119","https://openalex.org/W1965635191","https://openalex.org/W1966268097","https://openalex.org/W1970694313","https://openalex.org/W1979575715","https://openalex.org/W1983056091","https://openalex.org/W1985500221","https://openalex.org/W1994177366","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2012011168","https://openalex.org/W2013900972","https://openalex.org/W2016012896","https://openalex.org/W2017297397","https://openalex.org/W2023240121","https://openalex.org/W2025006397","https://openalex.org/W2032659713","https://openalex.org/W2033739349","https://openalex.org/W2038295726","https://openalex.org/W2055781937","https://openalex.org/W2061426511","https://openalex.org/W2063620673","https://openalex.org/W2065699488","https://openalex.org/W2072857774","https://openalex.org/W2074567665","https://openalex.org/W2076358877","https://openalex.org/W2077791698","https://openalex.org/W2083409253","https://openalex.org/W2106154424","https://openalex.org/W2110752212","https://openalex.org/W2130875461","https://openalex.org/W2135190204","https://openalex.org/W2141272809","https://openalex.org/W2146848558","https://openalex.org/W2148080284","https://openalex.org/W2148338846","https://openalex.org/W2155187653","https://openalex.org/W2156685740","https://openalex.org/W2160132624","https://openalex.org/W2168079093","https://openalex.org/W2584798035","https://openalex.org/W2751862591","https://openalex.org/W2889626940","https://openalex.org/W3015217870","https://openalex.org/W3123117179","https://openalex.org/W3124980720","https://openalex.org/W3125066342","https://openalex.org/W6675793612","https://openalex.org/W6780278385","https://openalex.org/W7045633486","https://openalex.org/W7057089690"],"related_works":["https://openalex.org/W2185117987","https://openalex.org/W1839697123","https://openalex.org/W2076358877","https://openalex.org/W1971313416","https://openalex.org/W1971834154","https://openalex.org/W2130875461","https://openalex.org/W2156875037","https://openalex.org/W7110610626","https://openalex.org/W2190740160","https://openalex.org/W1935315115"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}