{"id":"https://openalex.org/W2087401740","doi":"https://doi.org/10.3905/jod.2004.391032","title":"Non-Affine Option Pricing","display_name":"Non-Affine Option Pricing","publication_year":2004,"publication_date":"2004-02-29","ids":{"openalex":"https://openalex.org/W2087401740","doi":"https://doi.org/10.3905/jod.2004.391032","mag":"2087401740"},"language":"en","primary_location":{"id":"doi:10.3905/jod.2004.391032","doi":"https://doi.org/10.3905/jod.2004.391032","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jod.2004.391032","pdf_url":null,"source":{"id":"https://openalex.org/S173901576","display_name":"The Journal of Derivatives","issn_l":"1074-1240","issn":["1074-1240","2168-8524"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Derivatives","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/A5037969712","display_name":"Kyriakos Chourdakis","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I166337079","display_name":"Queen Mary University of London","ror":"https://ror.org/026zzn846","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I166337079"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Kyriakos Chourdakis","raw_affiliation_strings":["A lecturer in financial economics at Queen Mary, University of London in the U.K. k.chourdakis@qmul.ac.uk"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"A lecturer in financial economics at Queen Mary, University of London in the U.K. k.chourdakis@qmul.ac.uk","institution_ids":["https://openalex.org/I166337079"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5037969712"],"corresponding_institution_ids":["https://openalex.org/I166337079"],"apc_list":null,"apc_paid":null,"fwci":0.5791,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.82453895,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"11","issue":"3","first_page":"10","last_page":"25"},"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/T10282","display_name":"Financial Risk and Volatility Modeling","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/option-pricing","display_name":"option pricing","score":0.8999999761581421},{"id":"https://openalex.org/keywords/affine-jump-diffusion","display_name":"affine jump-diffusion","score":0.8859999775886536},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.859000027179718},{"id":"https://openalex.org/keywords/state-processes","display_name":"state processes","score":0.48899999260902405},{"id":"https://openalex.org/keywords/black-scholes-model-limitations","display_name":"Black-Scholes model limitations","score":0.7990000247955322},{"id":"https://openalex.org/keywords/interest-rate-models","display_name":"interest rate models","score":0.5090000033378601},{"id":"https://openalex.org/keywords/computational-efficiency","display_name":"computational efficiency","score":0.6620000004768372}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5358096361160278},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5004210472106934},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4947147071361542},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.4907141923904419},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4869133234024048},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.4551413655281067},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.4517754912376404},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.44382309913635254},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4392544627189636},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4239346981048584},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.42264077067375183},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4113856554031372},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39799967408180237},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.38461077213287354},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.23676085472106934},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10316824913024902},{"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/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/jod.2004.391032","doi":"https://doi.org/10.3905/jod.2004.391032","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jod.2004.391032","pdf_url":null,"source":{"id":"https://openalex.org/S173901576","display_name":"The Journal of Derivatives","issn_l":"1074-1240","issn":["1074-1240","2168-8524"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Derivatives","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W982383590","https://openalex.org/W1480459000","https://openalex.org/W1490197956","https://openalex.org/W1542238497","https://openalex.org/W1563248516","https://openalex.org/W1571438983","https://openalex.org/W1964377184","https://openalex.org/W1978032414","https://openalex.org/W1983886831","https://openalex.org/W1985500221","https://openalex.org/W2002233832","https://openalex.org/W2011530358","https://openalex.org/W2034241492","https://openalex.org/W2050980654","https://openalex.org/W2061339623","https://openalex.org/W2062911733","https://openalex.org/W2064978316","https://openalex.org/W2081877251","https://openalex.org/W2083685602","https://openalex.org/W2098371868","https://openalex.org/W2119862882","https://openalex.org/W2120702528","https://openalex.org/W2129220488","https://openalex.org/W2130727150","https://openalex.org/W2151065060","https://openalex.org/W2163191305","https://openalex.org/W2611591252","https://openalex.org/W2802739963","https://openalex.org/W3023336381","https://openalex.org/W3122390195","https://openalex.org/W3123321876","https://openalex.org/W3124264635","https://openalex.org/W4230643538","https://openalex.org/W4232006005"],"related_works":["https://openalex.org/W3104889079","https://openalex.org/W2413164099","https://openalex.org/W1608145094","https://openalex.org/W1998580139","https://openalex.org/W7054536262","https://openalex.org/W2284463633","https://openalex.org/W617420768","https://openalex.org/W2098539282","https://openalex.org/W3186742288","https://openalex.org/W2023120208"],"abstract_inverted_index":{"The":[0],"original":[1],"Black-Scholes":[2],"(BS)":[3],"model":[4],"introduced":[5],"financial":[6],"economists":[7],"to":[8,25,62,104,111,122,159],"continuous-time":[9,125],"mathematics.":[10],"But":[11],"evidence":[12],"quickly":[13],"accumulated":[14],"that":[15,94,128],"the":[16,27,47,63,92,108,148],"BS":[17],"constant":[18],"volatility":[19,95],"lognormal":[20],"diffusion":[21],"is":[22,121],"not":[23],"adequate":[24],"describe":[26],"behavior":[28],"of":[29,73,80,107,116,145],"real":[30],"world":[31],"stock":[32],"prices":[33],"or,":[34],"especially,":[35],"interest":[36],"rates.":[37],"Recent":[38],"work":[39],"by":[40],"Duffie":[41],"and":[42,44,76],"Singleton,":[43],"others,":[45],"extended":[46],"returns":[48],"processes":[49],"for":[50,141,155],"which":[51,68],"options":[52],"could":[53],"be":[54,97],"valued":[55],"in":[56],"more":[57],"or":[58],"less":[59],"closed":[60],"form":[61],"affine":[64],"jump-diffusion":[65],"(AJD)":[66],"class,":[67],"allows":[69],"an":[70],"arbitrary":[71],"number":[72],"stochastic":[74],"factors":[75],"a":[77,112,124,142],"broad":[78],"range":[79,115],"possible":[81],"behavior.":[82],"And":[83],"yet,":[84],"such":[85],"models":[86],"still":[87],"impose":[88],"significant":[89],"limits":[90],"on":[91],"ways":[93],"can":[96,129],"made":[98],"stochastic.":[99],"This":[100],"article":[101],"shows":[102],"how":[103],"break":[105],"out":[106],"AJD":[109],"class":[110],"much":[113],"broader":[114],"price":[117,146],"processes.":[118],"Chourdakis\u2019s":[119],"approach":[120],"construct":[123],"Markov":[126],"chain":[127],"approximate":[130],"nearly":[131],"any":[132],"plausible":[133],"state":[134],"process.":[135],"Moreover,":[136],"beyond":[137],"allowing":[138],"option":[139],"pricing":[140],"richer":[143],"set":[144],"processes,":[147],"technique":[149],"also":[150],"offers":[151],"improved":[152],"computational":[153],"efficiency":[154],"AJD-class":[156],"models,":[157],"relative":[158],"alternative":[160],"techniques.":[161]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}