{"id":"https://openalex.org/W4224252279","doi":"https://doi.org/10.1016/j.chaos.2022.112023","title":"A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion","display_name":"A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion","publication_year":2022,"publication_date":"2022-04-21","ids":{"openalex":"https://openalex.org/W4224252279","doi":"https://doi.org/10.1016/j.chaos.2022.112023"},"language":"en","primary_location":{"id":"doi:10.1016/j.chaos.2022.112023","doi":"https://doi.org/10.1016/j.chaos.2022.112023","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.chaos.2022.112023","pdf_url":null,"source":{"id":"https://openalex.org/S70718007","display_name":"Chaos Solitons & Fractals","issn_l":"0960-0779","issn":["0960-0779","1873-2887"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-a","jufo-1","ki-jl-1","norway-1","poland-70","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":"Chaos, Solitons & Fractals","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/A5026073892","display_name":"Davood Ahmadian","orcid":"https://orcid.org/0000-0003-3855-8416","observed_orcids":["https://orcid.org/0000-0003-3855-8416"]},"institutions":[{"id":"https://openalex.org/I41832843","display_name":"University of Tabriz","ror":"https://ror.org/01papkj44","country_code":"IR","type":"education","lineage":["https://openalex.org/I41832843"]}],"countries":["IR"],"is_corresponding":true,"raw_author_name":"D. Ahmadian","raw_affiliation_strings":["Faculty of Mathematics, Statistics and Computer Science, 29 Blvd, University of Tabriz, Tabriz, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Mathematics, Statistics and Computer Science, 29 Blvd, University of Tabriz, Tabriz, Iran","institution_ids":["https://openalex.org/I41832843"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014927473","display_name":"Luca Vincenzo Ballestra","orcid":"https://orcid.org/0000-0001-7205-6319","observed_orcids":["https://orcid.org/0000-0001-7205-6319"]},"institutions":[{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"L.V. Ballestra","raw_affiliation_strings":["Department of Statistical Sciences, Alma Mater Studiorum University of Bologna, Via delle Belle Arti 41, 40126 Bologna, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences, Alma Mater Studiorum University of Bologna, Via delle Belle Arti 41, 40126 Bologna, Italy","institution_ids":["https://openalex.org/I9360294"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5029103930","display_name":"Foad Shokrollahi","orcid":"https://orcid.org/0000-0003-1434-0949","observed_orcids":["https://orcid.org/0000-0003-1434-0949","https://orcid.org/0009-0003-6205-7539"]},"institutions":[{"id":"https://openalex.org/I79765343","display_name":"University of Vaasa","ror":"https://ror.org/03769b225","country_code":"FI","type":"education","lineage":["https://openalex.org/I79765343"]}],"countries":["FI"],"is_corresponding":false,"raw_author_name":"F. Shokrollahi","raw_affiliation_strings":["Department of Mathematics and Statistics, University of Vaasa, P.O. Box 700, FIN-65101 Vaasa, Finland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, University of Vaasa, P.O. Box 700, FIN-65101 Vaasa, Finland","institution_ids":["https://openalex.org/I79765343"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5026073892"],"corresponding_institution_ids":["https://openalex.org/I41832843"],"apc_list":{"value":2580,"currency":"USD","value_usd":2580},"apc_paid":null,"fwci":3.4794,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.9323518,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"158","issue":null,"first_page":"112023","last_page":"112023"},"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/T10288","display_name":"Fractional Differential Equations Solutions","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"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/T12135","display_name":"Fuzzy Systems and Optimization","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"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/geometric-asian-options","display_name":"geometric Asian options","score":0.7419999837875366},{"id":"https://openalex.org/keywords/arithmetic-asian-options","display_name":"arithmetic Asian options","score":0.9829999804496765},{"id":"https://openalex.org/keywords/mixed-fractional-brownian-motion","display_name":"mixed fractional Brownian motion","score":0.9049999713897705},{"id":"https://openalex.org/keywords/closed-form-pricing","display_name":"closed-form pricing","score":0.7490000128746033},{"id":"https://openalex.org/keywords/control-variates","display_name":"control variates","score":0.9190000295639038},{"id":"https://openalex.org/keywords/variance-reduction","display_name":"variance reduction","score":0.9049999713897705},{"id":"https://openalex.org/keywords/monte-carlo-option-pricing","display_name":"Monte Carlo option pricing","score":0.7960000038146973},{"id":"https://openalex.org/keywords/multi-asset-options","display_name":"multi-asset options","score":0.7260000109672546}],"concepts":[{"id":"https://openalex.org/C121683094","wikidata":"https://www.wikidata.org/wiki/Q3554721","display_name":"Control variates","level":5,"score":0.8912841081619263},{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.7983638048171997},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.7846524715423584},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7500731945037842},{"id":"https://openalex.org/C2776558979","wikidata":"https://www.wikidata.org/wiki/Q1052","display_name":"Rainbow","level":2,"score":0.7266484498977661},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.6394863128662109},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.5317009687423706},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5250430107116699},{"id":"https://openalex.org/C63320529","wikidata":"https://www.wikidata.org/wiki/Q7269435","display_name":"Quasi-Monte Carlo method","level":5,"score":0.5204046964645386},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.5062102675437927},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.5050063729286194},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.44280707836151123},{"id":"https://openalex.org/C132725507","wikidata":"https://www.wikidata.org/wiki/Q39879","display_name":"Monte Carlo integration","level":5,"score":0.41094720363616943},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.36790722608566284},{"id":"https://openalex.org/C37669827","wikidata":"https://www.wikidata.org/wiki/Q6904703","display_name":"Monte Carlo molecular modeling","level":4,"score":0.32550132274627686},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.3019963204860687},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.27349159121513367},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2299971580505371},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.1932535469532013},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.13381639122962952},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13356131315231323},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11585459113121033},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.chaos.2022.112023","doi":"https://doi.org/10.1016/j.chaos.2022.112023","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.chaos.2022.112023","pdf_url":null,"source":{"id":"https://openalex.org/S70718007","display_name":"Chaos Solitons & Fractals","issn_l":"0960-0779","issn":["0960-0779","1873-2887"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-a","jufo-1","ki-jl-1","norway-1","poland-70","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":"Chaos, Solitons & Fractals","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002338","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0960077922002338","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"},{"id":"pmh:oai:cris.unibo.it:11585/882871","doi":null,"is_oa":false,"landing_page_url":"https://hdl.handle.net/11585/882871","pdf_url":null,"source":{"id":"https://openalex.org/S4306402579","display_name":"Archivio istituzionale della ricerca (Alma Mater Studiorum Universit\u00e0 di Bologna)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210117483","host_organization_name":"Istituto di Ematologia di Bologna","host_organization_lineage":["https://openalex.org/I4210117483"],"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":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W588973965","https://openalex.org/W1545012815","https://openalex.org/W1552108148","https://openalex.org/W1978094758","https://openalex.org/W1980519218","https://openalex.org/W1982039177","https://openalex.org/W1986746640","https://openalex.org/W1993347474","https://openalex.org/W1995666097","https://openalex.org/W2016193062","https://openalex.org/W2049143678","https://openalex.org/W2052099730","https://openalex.org/W2061724927","https://openalex.org/W2069566094","https://openalex.org/W2077791698","https://openalex.org/W2096561602","https://openalex.org/W2146125103","https://openalex.org/W2151065060","https://openalex.org/W2170453002","https://openalex.org/W2179633876","https://openalex.org/W2408467461","https://openalex.org/W2462562760","https://openalex.org/W2624146686","https://openalex.org/W2732808416","https://openalex.org/W2771318113","https://openalex.org/W2774119696","https://openalex.org/W2809824161","https://openalex.org/W2998637999","https://openalex.org/W3012351558","https://openalex.org/W3124055098","https://openalex.org/W3125533662","https://openalex.org/W3125993911","https://openalex.org/W3135809430","https://openalex.org/W6648817020"],"related_works":["https://openalex.org/W3012351558","https://openalex.org/W2771318113","https://openalex.org/W6885065023","https://openalex.org/W7166100278","https://openalex.org/W2382625014","https://openalex.org/W7160128874","https://openalex.org/W3159990534","https://openalex.org/W4400316463","https://openalex.org/W2390574552","https://openalex.org/W2260392970"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":6},{"year":2025,"cited_by_count":9},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2022-04-26T00:00:00"}