{"id":"https://openalex.org/W2023933898","doi":"https://doi.org/10.1016/j.jbankfin.2014.04.011","title":"Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps","display_name":"Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps","publication_year":2014,"publication_date":"2014-04-19","ids":{"openalex":"https://openalex.org/W2023933898","doi":"https://doi.org/10.1016/j.jbankfin.2014.04.011","mag":"2023933898"},"language":"en","primary_location":{"id":"doi:10.1016/j.jbankfin.2014.04.011","doi":"https://doi.org/10.1016/j.jbankfin.2014.04.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2014.04.011","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking &amp; Finance","raw_type":"journal-article"},"volume":null,"type":"article","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/A5065815345","display_name":"Shing Fung Chung","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Shing Fung Chung","raw_affiliation_strings":["Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5072737565","display_name":"Hoi Ying Wong","orcid":"https://orcid.org/0000-0001-9743-1832","observed_orcids":["https://orcid.org/0000-0001-9743-1832"]},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Hoi Ying Wong","raw_affiliation_strings":["Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5072737565"],"corresponding_institution_ids":["https://openalex.org/I177725633"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":6.7096,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.96205854,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"44","issue":null,"first_page":"130","last_page":"140"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"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":1.0,"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":0.0,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.0,"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/arithmetic-asian-options","display_name":"arithmetic Asian options","score":0.9010000228881836},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"mean reversion","score":0.9020000100135803},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"jump diffusion","score":0.7929999828338623},{"id":"https://openalex.org/keywords/commodity-options","display_name":"commodity options","score":0.765999972820282},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.7850000262260437},{"id":"https://openalex.org/keywords/analytical-pricing","display_name":"analytical pricing","score":0.6320000290870667},{"id":"https://openalex.org/keywords/fast-fourier-transform","display_name":"fast Fourier transform","score":0.9070000052452087},{"id":"https://openalex.org/keywords/joint-characteristic-function","display_name":"joint characteristic function","score":0.9259999990463257}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.9197995662689209},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7320180535316467},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.6624557971954346},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.5499972701072693},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5403452515602112},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.48328593373298645},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44523248076438904},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4406857490539551},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.43566611409187317},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.2575000524520874},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.21120256185531616},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11580139398574829},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.jbankfin.2014.04.011","doi":"https://doi.org/10.1016/j.jbankfin.2014.04.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2014.04.011","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking &amp; Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jbfina:v:44:y:2014:i:c:p:130-140","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S037842661400137X","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.41999998688697815}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W96632324","https://openalex.org/W588152224","https://openalex.org/W1480459000","https://openalex.org/W1499969990","https://openalex.org/W1593581278","https://openalex.org/W1915323149","https://openalex.org/W1972180129","https://openalex.org/W1982896705","https://openalex.org/W1990616250","https://openalex.org/W1995216113","https://openalex.org/W1996305700","https://openalex.org/W2016564841","https://openalex.org/W2021524765","https://openalex.org/W2068460386","https://openalex.org/W2094086247","https://openalex.org/W2095508519","https://openalex.org/W2125862561","https://openalex.org/W2141186877","https://openalex.org/W2161387316","https://openalex.org/W2911234796","https://openalex.org/W3122193598","https://openalex.org/W3123027549","https://openalex.org/W3124656569","https://openalex.org/W3124966836"],"related_works":["https://openalex.org/W2501546484","https://openalex.org/W4389113423","https://openalex.org/W2969640965","https://openalex.org/W2737696598","https://openalex.org/W2204936249","https://openalex.org/W4319841175","https://openalex.org/W7098501050","https://openalex.org/W2354326456","https://openalex.org/W7033525337","https://openalex.org/W2168748510"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":3}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
