{"id":"https://openalex.org/W2309752015","doi":"https://doi.org/10.1016/j.ejor.2016.03.034","title":"An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures","display_name":"An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures","publication_year":2016,"publication_date":"2016-03-27","ids":{"openalex":"https://openalex.org/W2309752015","doi":"https://doi.org/10.1016/j.ejor.2016.03.034","mag":"2309752015"},"language":"en","primary_location":{"id":"doi:10.1016/j.ejor.2016.03.034","doi":"https://doi.org/10.1016/j.ejor.2016.03.034","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ejor.2016.03.034","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","cwts-core","jufo-2","ki-jl-2","norway-2"],"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":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://doi.org/10.1016/j.ejor.2016.03.034","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029051555","display_name":"Chengfeng Weng","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I99065089","display_name":"Tsinghua University","ror":"https://ror.org/03cve4549","country_code":"CN","type":"education","lineage":["https://openalex.org/I99065089"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chengfeng Weng","raw_affiliation_strings":["Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China","institution_ids":["https://openalex.org/I99065089"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101625376","display_name":"Xiaoqun Wang","orcid":"https://orcid.org/0000-0003-3440-2617","observed_orcids":["https://orcid.org/0000-0003-3440-2617"]},"institutions":[{"id":"https://openalex.org/I99065089","display_name":"Tsinghua University","ror":"https://ror.org/03cve4549","country_code":"CN","type":"education","lineage":["https://openalex.org/I99065089"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiaoqun Wang","raw_affiliation_strings":["Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China","institution_ids":["https://openalex.org/I99065089"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5058665232","display_name":"Zhijian He","orcid":"https://orcid.org/0000-0002-0730-5953","observed_orcids":["https://orcid.org/0000-0002-0730-5953"]},"institutions":[{"id":"https://openalex.org/I157773358","display_name":"Sun Yat-sen University","ror":"https://ror.org/0064kty71","country_code":"CN","type":"education","lineage":["https://openalex.org/I157773358"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zhijian He","raw_affiliation_strings":["Lingnan (University) College, Sun Yat-sen University, Guangzhou 510275, China"],"raw_orcid":"https://orcid.org/0000-0002-0730-5953","affiliations":[{"raw_affiliation_string":"Lingnan (University) College, Sun Yat-sen University, Guangzhou 510275, China","institution_ids":["https://openalex.org/I157773358"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5058665232"],"corresponding_institution_ids":["https://openalex.org/I157773358"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":0.3574,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.59452901,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":94},"biblio":{"volume":"254","issue":"1","first_page":"304","last_page":"311"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.9535999894142151,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.9535999894142151,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.038600001484155655,"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/T11191","display_name":"Mathematical functions and polynomials","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/quasi-monte-carlo","display_name":"quasi-Monte Carlo","score":0.9610000252723694},{"id":"https://openalex.org/keywords/discontinuous-functions","display_name":"discontinuous functions","score":0.8109999895095825},{"id":"https://openalex.org/keywords/jump-processes","display_name":"jump processes","score":0.5490000247955322},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.8930000066757202},{"id":"https://openalex.org/keywords/k-means-clustering","display_name":"K-means clustering","score":0.9509999752044678},{"id":"https://openalex.org/keywords/discontinuity-surfaces","display_name":"discontinuity surfaces","score":0.6930000185966492},{"id":"https://openalex.org/keywords/surface-normals","display_name":"surface normals","score":0.722000002861023},{"id":"https://openalex.org/keywords/numerical-integration-efficiency","display_name":"numerical integration efficiency","score":0.4009999930858612}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7473450303077698},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.693773090839386},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.48705485463142395},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.42552271485328674},{"id":"https://openalex.org/C146880194","wikidata":"https://www.wikidata.org/wiki/Q61715222","display_name":"Computational finance","level":2,"score":0.4157010316848755},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.40704429149627686},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3247252106666565},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3072463870048523},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.28673261404037476},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.27618277072906494},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.12890073657035828},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09457969665527344},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.ejor.2016.03.034","doi":"https://doi.org/10.1016/j.ejor.2016.03.034","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ejor.2016.03.034","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","cwts-core","jufo-2","ki-jl-2","norway-2"],"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":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:ejores:v:254:y:2016:i:1:p:304-311","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S037722171630162X","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":{"id":"doi:10.1016/j.ejor.2016.03.034","doi":"https://doi.org/10.1016/j.ejor.2016.03.034","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ejor.2016.03.034","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","cwts-core","jufo-2","ki-jl-2","norway-2"],"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":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.4699999988079071,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"study_designs":[],"awards":[{"id":"https://openalex.org/G3401499039","display_name":null,"funder_award_id":"71471100","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W39759813","https://openalex.org/W187931435","https://openalex.org/W379984726","https://openalex.org/W1533955387","https://openalex.org/W1602773783","https://openalex.org/W1977556410","https://openalex.org/W1997190995","https://openalex.org/W2004971474","https://openalex.org/W2034638017","https://openalex.org/W2035206081","https://openalex.org/W2035392372","https://openalex.org/W2035743118","https://openalex.org/W2043419861","https://openalex.org/W2057989705","https://openalex.org/W2079846246","https://openalex.org/W2124189866","https://openalex.org/W2146261346","https://openalex.org/W2228579993","https://openalex.org/W2275195990","https://openalex.org/W4238382682","https://openalex.org/W6631820017","https://openalex.org/W6659178635","https://openalex.org/W6689781694"],"related_works":["https://openalex.org/W2507439616","https://openalex.org/W2352779812","https://openalex.org/W362430865","https://openalex.org/W2954755983","https://openalex.org/W2362743624","https://openalex.org/W3121278253","https://openalex.org/W2288042208","https://openalex.org/W2414458494","https://openalex.org/W3121455813","https://openalex.org/W2412513992"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-09-16T18:09:00.828671","created_date":"2025-10-10T00:00:00"}
