{"id":"https://openalex.org/W786706030","doi":"https://doi.org/10.1007/s10614-015-9506-7","title":"A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters","display_name":"A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters","publication_year":2015,"publication_date":"2015-07-07","ids":{"openalex":"https://openalex.org/W786706030","doi":"https://doi.org/10.1007/s10614-015-9506-7","mag":"786706030"},"language":"en","primary_location":{"id":"doi:10.1007/s10614-015-9506-7","doi":"https://doi.org/10.1007/s10614-015-9506-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10614-015-9506-7","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","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/A5069521295","display_name":"Rahman Farnoosh","orcid":"https://orcid.org/0000-0002-9058-2491","observed_orcids":["https://orcid.org/0000-0002-9058-2491"]},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":true,"raw_author_name":"Rahman Farnoosh","raw_affiliation_strings":["School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, 16844, Iran","School of Mathematics, Iran University of Science and Technology, Tehran, Iran 16844#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, 16844, Iran","institution_ids":["https://openalex.org/I67009956"]},{"raw_affiliation_string":"School of Mathematics, Iran University of Science and Technology, Tehran, Iran 16844#TAB#","institution_ids":["https://openalex.org/I67009956"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035437533","display_name":"H. R. Rezazadeh","orcid":"https://orcid.org/0000-0001-5004-4253","observed_orcids":["https://orcid.org/0000-0001-5004-4253"]},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Hamidreza Rezazadeh","raw_affiliation_strings":["School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, 16844, Iran","School of Mathematics, Iran University of Science and Technology, Tehran, Iran 16844#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, 16844, Iran","institution_ids":["https://openalex.org/I67009956"]},{"raw_affiliation_string":"School of Mathematics, Iran University of Science and Technology, Tehran, Iran 16844#TAB#","institution_ids":["https://openalex.org/I67009956"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5052865452","display_name":"Amirhossein Sobhani","orcid":"https://orcid.org/0000-0001-5277-4655","observed_orcids":["https://orcid.org/0000-0001-5277-4655"]},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Amirhossein Sobhani","raw_affiliation_strings":["School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, 16844, Iran","School of Mathematics, Iran University of Science and Technology, Tehran, Iran 16844#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, 16844, Iran","institution_ids":["https://openalex.org/I67009956"]},{"raw_affiliation_string":"School of Mathematics, Iran University of Science and Technology, Tehran, Iran 16844#TAB#","institution_ids":["https://openalex.org/I67009956"]}]},{"author_position":"last","author":{"id":null,"display_name":"M. Hossein Beheshti","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210109236","display_name":"Islamic Azad University of Varamin","ror":"https://ror.org/01px8ca57","country_code":"IR","type":"education","lineage":["https://openalex.org/I110525433","https://openalex.org/I4210109236"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"M. Hossein Beheshti","raw_affiliation_strings":["Department of Mathematics, Varamin-Pishva Branch, Islamic Azad university, Varamin, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Varamin-Pishva Branch, Islamic Azad university, Varamin, Iran","institution_ids":["https://openalex.org/I4210109236"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5069521295"],"corresponding_institution_ids":["https://openalex.org/I67009956"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":3.0279,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.91290059,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"48","issue":"1","first_page":"131","last_page":"145"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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/T11416","display_name":"Numerical Solvers for Ordinary Differential Equations","score":0.0,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/time-varying-parameters","display_name":"time-varying parameters","score":0.7450000047683716},{"id":"https://openalex.org/keywords/black-scholes-model","display_name":"Black-Scholes model","score":0.8610000014305115},{"id":"https://openalex.org/keywords/recursive-formula","display_name":"recursive formula","score":0.8140000104904175},{"id":"https://openalex.org/keywords/dividend-yield","display_name":"dividend yield","score":0.8700000047683716},{"id":"https://openalex.org/keywords/drift","display_name":"drift","score":0.7699999809265137},{"id":"https://openalex.org/keywords/partial-differential-equations","display_name":"partial differential equations","score":0.6349999904632568},{"id":"https://openalex.org/keywords/greeks","display_name":"Greeks","score":0.4519999921321869},{"id":"https://openalex.org/keywords/computational-cost","display_name":"computational cost","score":0.4569999873638153}],"concepts":[{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.7985677719116211},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.6646676063537598},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5566161274909973},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5315698385238647},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5115231275558472},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5069661140441895},{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.4769945740699768},{"id":"https://openalex.org/C116168712","wikidata":"https://www.wikidata.org/wiki/Q181201","display_name":"Dividend","level":2,"score":0.4745120406150818},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4723595082759857},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43892961740493774},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.41845598816871643},{"id":"https://openalex.org/C184530449","wikidata":"https://www.wikidata.org/wiki/Q2706107","display_name":"Dividend yield","level":4,"score":0.4131705164909363},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3247300088405609},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2752562165260315},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.21543940901756287},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.1940891444683075},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14591646194458008},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10744541883468628},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","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},{"id":"https://openalex.org/C59399099","wikidata":"https://www.wikidata.org/wiki/Q5284040","display_name":"Dividend policy","level":3,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10614-015-9506-7","doi":"https://doi.org/10.1007/s10614-015-9506-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10614-015-9506-7","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:kap:compec:v:48:y:2016:i:1:d:10.1007_s10614-015-9506-7","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10614-015-9506-7","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":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W71165104","https://openalex.org/W1502761290","https://openalex.org/W1503295912","https://openalex.org/W1557120076","https://openalex.org/W1600624394","https://openalex.org/W1975761536","https://openalex.org/W1976607776","https://openalex.org/W1977175703","https://openalex.org/W1987050890","https://openalex.org/W2007325400","https://openalex.org/W2016543572","https://openalex.org/W2023970747","https://openalex.org/W2024746190","https://openalex.org/W2041902442","https://openalex.org/W2052619408","https://openalex.org/W2063763088","https://openalex.org/W2069114279","https://openalex.org/W2077791698","https://openalex.org/W2091268588","https://openalex.org/W2167361310","https://openalex.org/W2168954579","https://openalex.org/W2169035645","https://openalex.org/W2170316986","https://openalex.org/W2284474021","https://openalex.org/W2461674831","https://openalex.org/W2584798035","https://openalex.org/W2799664482","https://openalex.org/W4230846739","https://openalex.org/W4238187298","https://openalex.org/W4240399370"],"related_works":["https://openalex.org/W2192666351","https://openalex.org/W2904779583","https://openalex.org/W2167361310","https://openalex.org/W7049263932","https://openalex.org/W2148233817","https://openalex.org/W2185275130","https://openalex.org/W1514260014","https://openalex.org/W2461674831","https://openalex.org/W2063763088","https://openalex.org/W2050590948"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":5}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}