{"id":"https://openalex.org/W2054722702","doi":"https://doi.org/10.1016/j.jbankfin.2007.03.010","title":"Pricing options on scenario trees","display_name":"Pricing options on scenario trees","publication_year":2007,"publication_date":"2007-07-07","ids":{"openalex":"https://openalex.org/W2054722702","doi":"https://doi.org/10.1016/j.jbankfin.2007.03.010","mag":"2054722702"},"language":"en","primary_location":{"id":"doi:10.1016/j.jbankfin.2007.03.010","doi":"https://doi.org/10.1016/j.jbankfin.2007.03.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2007.03.010","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","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/A5009517991","display_name":"Nikolas Topaloglou","orcid":"https://orcid.org/0000-0002-2187-0748","observed_orcids":["https://orcid.org/0000-0002-2187-0748"]},"institutions":[{"id":"https://openalex.org/I34771391","display_name":"University of Cyprus","ror":"https://ror.org/02qjrjx09","country_code":"CY","type":"education","lineage":["https://openalex.org/I34771391"]}],"countries":["CY"],"is_corresponding":false,"raw_author_name":"Nikolas Topaloglou","raw_affiliation_strings":["Center for Banking and Financial Research, School of Economics and Management, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Banking and Financial Research, School of Economics and Management, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus","institution_ids":["https://openalex.org/I34771391"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008803648","display_name":"Hercules Vladimirou","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I34771391","display_name":"University of Cyprus","ror":"https://ror.org/02qjrjx09","country_code":"CY","type":"education","lineage":["https://openalex.org/I34771391"]}],"countries":["CY"],"is_corresponding":true,"raw_author_name":"Hercules Vladimirou","raw_affiliation_strings":["Center for Banking and Financial Research, School of Economics and Management, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Banking and Financial Research, School of Economics and Management, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus","institution_ids":["https://openalex.org/I34771391"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060322411","display_name":"Stavros A. Zenios","orcid":"https://orcid.org/0000-0001-7576-4898","observed_orcids":["https://orcid.org/0000-0001-7576-4898"]},"institutions":[{"id":"https://openalex.org/I34771391","display_name":"University of Cyprus","ror":"https://ror.org/02qjrjx09","country_code":"CY","type":"education","lineage":["https://openalex.org/I34771391"]}],"countries":["CY"],"is_corresponding":false,"raw_author_name":"Stavros A. Zenios","raw_affiliation_strings":["Center for Banking and Financial Research, School of Economics and Management, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Banking and Financial Research, School of Economics and Management, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus","institution_ids":["https://openalex.org/I34771391"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5008803648"],"corresponding_institution_ids":["https://openalex.org/I34771391"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":4.331,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.9435047,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"32","issue":"2","first_page":"283","last_page":"298"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965999722480774,"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":0.9965999722480774,"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":0.0024999999441206455,"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/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/option-pricing","display_name":"option pricing","score":0.9829999804496765},{"id":"https://openalex.org/keywords/scenario-tree","display_name":"scenario tree","score":0.984000027179718},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"stochastic programming","score":0.7300000190734863},{"id":"https://openalex.org/keywords/european-options","display_name":"European options","score":0.9470000267028809},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.9549999833106995},{"id":"https://openalex.org/keywords/excess-kurtosis","display_name":"excess kurtosis","score":0.9860000014305115},{"id":"https://openalex.org/keywords/higher-order-moments","display_name":"higher-order moments","score":0.7239999771118164},{"id":"https://openalex.org/keywords/s-p-500-index-options","display_name":"S&P 500 options","score":0.8550000190734863},{"id":"https://openalex.org/keywords/out-of-the-money-options","display_name":"out-of-the-money options","score":0.8330000042915344},{"id":"https://openalex.org/keywords/market-regimes","display_name":"market regimes","score":0.5109999775886536}],"concepts":[{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.7693783640861511},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6726709008216858},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6586906909942627},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6284817457199097},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.5681074261665344},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49898624420166016},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.47829800844192505},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.46634265780448914},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4260944426059723},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.421817421913147},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.4177599251270294},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41325122117996216},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.30896878242492676},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.296463280916214},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19823965430259705},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10839495062828064},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09843021631240845},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.08586663007736206},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","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},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.jbankfin.2007.03.010","doi":"https://doi.org/10.1016/j.jbankfin.2007.03.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2007.03.010","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:32:y:2008:i:2:p:283-298","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378-4266(07)00183-5","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":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320300","display_name":"European Commission","ror":"https://ror.org/00k4n6c32"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W19424573","https://openalex.org/W634056470","https://openalex.org/W1494277681","https://openalex.org/W1515548803","https://openalex.org/W1538210250","https://openalex.org/W1544200418","https://openalex.org/W1546448805","https://openalex.org/W1553000336","https://openalex.org/W1964081086","https://openalex.org/W1978032414","https://openalex.org/W1981661608","https://openalex.org/W1985018066","https://openalex.org/W1986392102","https://openalex.org/W2016012896","https://openalex.org/W2033127325","https://openalex.org/W2045144032","https://openalex.org/W2046248410","https://openalex.org/W2072991174","https://openalex.org/W2077791698","https://openalex.org/W2080852372","https://openalex.org/W2106154424","https://openalex.org/W2106271302","https://openalex.org/W2106875231","https://openalex.org/W2118471886","https://openalex.org/W2143782025","https://openalex.org/W2151581476","https://openalex.org/W2151710377","https://openalex.org/W2158580072","https://openalex.org/W2160259202","https://openalex.org/W2473984546","https://openalex.org/W2503933116","https://openalex.org/W2890218202","https://openalex.org/W3022492005","https://openalex.org/W3121239128","https://openalex.org/W3122467650","https://openalex.org/W3123342669","https://openalex.org/W3123480036","https://openalex.org/W4285719527","https://openalex.org/W6780278385"],"related_works":["https://openalex.org/W1524694271","https://openalex.org/W2929755894","https://openalex.org/W2158958516","https://openalex.org/W3214724747","https://openalex.org/W4361865531","https://openalex.org/W2292774050","https://openalex.org/W4393218206","https://openalex.org/W2096925383","https://openalex.org/W2120991802","https://openalex.org/W564001970"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":4}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
