{"id":"https://openalex.org/W2052906040","doi":"https://doi.org/10.1137/s0036139900367206","title":"Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE","display_name":"Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE","publication_year":2001,"publication_date":"2001-01-01","ids":{"openalex":"https://openalex.org/W2052906040","doi":"https://doi.org/10.1137/s0036139900367206","mag":"2052906040"},"language":"en","primary_location":{"id":"doi:10.1137/s0036139900367206","doi":"https://doi.org/10.1137/s0036139900367206","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0036139900367206","pdf_url":null,"source":{"id":"https://openalex.org/S77200987","display_name":"SIAM Journal on Applied Mathematics","issn_l":"0036-1399","issn":["0036-1399","1095-712X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-3","norway-2","poland-100","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Applied Mathematics","raw_type":"journal-article"},"volume":null,"type":"article","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/A5009553528","display_name":"Peter Grandits","orcid":"https://orcid.org/0000-0001-7357-2059","observed_orcids":["https://orcid.org/0000-0001-7357-2059"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Peter Grandits","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5009553528"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.5617,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.83322353,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"62","issue":"2","first_page":"541","last_page":"562"},"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/T11413","display_name":"Risk and Portfolio Optimization","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/option-hedging","display_name":"option hedging","score":0.921999990940094},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.9950000047683716},{"id":"https://openalex.org/keywords/nonlinear-fokker-planck-equation","display_name":"nonlinear Fokker-Planck equation","score":0.9649999737739563},{"id":"https://openalex.org/keywords/variance-minimization","display_name":"variance minimization","score":0.7720000147819519},{"id":"https://openalex.org/keywords/portfolio-risk","display_name":"portfolio risk","score":0.3160000145435333}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.7587430477142334},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6338273286819458},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5995100736618042},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.46536684036254883},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.4574927091598511},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4425979256629944},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.43918612599372864},{"id":"https://openalex.org/C7321624","wikidata":"https://www.wikidata.org/wiki/Q205","display_name":"Infinity","level":2,"score":0.435543954372406},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4342738389968872},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.42112958431243896},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4178348481655121},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4066346287727356},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3596968650817871},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.35325145721435547},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.2387162148952484},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.20331287384033203},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19018834829330444},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.13634294271469116},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.12706425786018372},{"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/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/s0036139900367206","doi":"https://doi.org/10.1137/s0036139900367206","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0036139900367206","pdf_url":null,"source":{"id":"https://openalex.org/S77200987","display_name":"SIAM Journal on Applied Mathematics","issn_l":"0036-1399","issn":["0036-1399","1095-712X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-3","norway-2","poland-100","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Applied Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:bibcyt.ucla.edu.ve:T070300011932/10","doi":null,"is_oa":false,"landing_page_url":"http://bibcyt.ucla.edu.ve/cgi-win/be_alex.exe?Acceso=T070300011932/10&Nombrebd=Bciucla","pdf_url":null,"source":{"id":"https://openalex.org/S7407064187","display_name":"UCLA - Biblioteca de Ciencias y Tecnologia Felix Morales Bueno","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I19325673","host_organization_name":"Universidad Centroccidental Lisandro Alvarado","host_organization_lineage":["https://openalex.org/I19325673"],"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":null},{"id":"mag:2471724897","doi":null,"is_oa":false,"landing_page_url":"https://www.jstor.org/stable/3061776","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W150297053","https://openalex.org/W571823177","https://openalex.org/W1545370368","https://openalex.org/W1546975556","https://openalex.org/W1580561995","https://openalex.org/W1976625337","https://openalex.org/W2040394324","https://openalex.org/W2046904024","https://openalex.org/W2050150447","https://openalex.org/W2054856063","https://openalex.org/W2056247783","https://openalex.org/W2061912475","https://openalex.org/W2073238979","https://openalex.org/W2077791698","https://openalex.org/W2085381482","https://openalex.org/W2114971059","https://openalex.org/W2150612955","https://openalex.org/W2161836471","https://openalex.org/W2175456627","https://openalex.org/W2301557801","https://openalex.org/W2333830766","https://openalex.org/W2369386221","https://openalex.org/W2488449017","https://openalex.org/W2507514479","https://openalex.org/W2762654004","https://openalex.org/W3121645562","https://openalex.org/W3216707380"],"related_works":["https://openalex.org/W2471724897","https://openalex.org/W7099016440","https://openalex.org/W7095336606","https://openalex.org/W2036518225","https://openalex.org/W1535741440","https://openalex.org/W3932569","https://openalex.org/W1008221604","https://openalex.org/W3121921287","https://openalex.org/W3191918545","https://openalex.org/W1834208315"],"abstract_inverted_index":{"We":[0,32,63],"examine":[1,64],"a":[2,58,97],"commonly":[3],"used":[4],"model":[5,20,77,95],"for":[6],"hedging":[7,16,85],"an":[8],"option":[9],"in":[10,18,28,67,75],"markets":[11],"with":[12,96],"transaction":[13,48,55,73],"costs.":[14],"The":[15],"strategy":[17],"this":[19,76],"basically":[21],"minimizes":[22],"the":[23,26,35,45,54,72,81,84,94],"variance":[24],"of":[25,38,47,83],"portfolio":[27],"each":[29],"time":[30],"step.":[31],"show":[33],"that":[34,71],"limiting":[36],"(number":[37],"revision":[39],"intervals":[40],"tending":[41],"to":[42,88],"infinity,":[43],"while":[44],"level":[46],"costs":[49,74],"remains":[50],"constant)":[51],"PDE,":[52],"governing":[53],"costs,":[56],"is":[57],"well-known":[59],"nonlinear":[60],"Fokker--Planck":[61],"equation.":[62],"its":[65],"behavior":[66],"detail,":[68],"thereby":[69],"obtaining":[70],"remain":[78],"finite":[79],"if":[80],"size":[82],"interval":[86],"tends":[87],"zero.":[89],"In":[90],"addition,":[91],"we":[92],"compare":[93],"utility-based":[98],"approach.":[99]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":7},{"year":2012,"cited_by_count":6}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}