{"id":"https://openalex.org/W1543579282","doi":"https://doi.org/10.1007/3-540-44842-x_17","title":"Two Factor Option Pricing with Uncertain Volatility","display_name":"Two Factor Option Pricing with Uncertain Volatility","publication_year":2003,"publication_date":"2003-01-01","ids":{"openalex":"https://openalex.org/W1543579282","doi":"https://doi.org/10.1007/3-540-44842-x_17","mag":"1543579282"},"language":"en","primary_location":{"id":"doi:10.1007/3-540-44842-x_17","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-44842-x_17","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"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":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"book-chapter","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/A5045862339","display_name":"David M. Pooley","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"David M. Pooley","raw_affiliation_strings":["School of Computer Science, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1","School of Computer Science; University of Waterloo; Waterloo Ontario Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Computer Science, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"School of Computer Science; University of Waterloo; Waterloo Ontario Canada","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5103261400","display_name":"Peter Forsyth","orcid":"https://orcid.org/0000-0001-7841-7891"},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Peter A. Forsyth","raw_affiliation_strings":["School of Computer Science, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1","School of Computer Science; University of Waterloo; Waterloo Ontario Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Computer Science, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"School of Computer Science; University of Waterloo; Waterloo Ontario Canada","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111451533","display_name":"K.R. Vetzal","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Ken R. Vetzal","raw_affiliation_strings":["School of Accountancy, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1","School of Accountancy, University of Waterloo, Waterloo, Ontario, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Accountancy, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"School of Accountancy, University of Waterloo, Waterloo, Ontario, Canada","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.10680799,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"158","last_page":"167"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"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":0.998199999332428,"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":0.9837999939918518,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9787999987602234,"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/stochastic-volatility","display_name":"Stochastic volatility","score":0.6730334162712097},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6278057098388672},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5915831327438354},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5808699131011963},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.565490186214447},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.5309008359909058},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.42816615104675293},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3369448184967041},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.331961989402771},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.23960241675376892}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6730334162712097},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6278057098388672},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5915831327438354},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5808699131011963},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.565490186214447},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5309008359909058},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.42816615104675293},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3369448184967041},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.331961989402771},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.23960241675376892},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","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/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/3-540-44842-x_17","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-44842-x_17","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"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":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W130211666","https://openalex.org/W1571972671","https://openalex.org/W1833175627","https://openalex.org/W1968902264","https://openalex.org/W1977444260","https://openalex.org/W2027654260","https://openalex.org/W2069623243","https://openalex.org/W2074451409","https://openalex.org/W2075595061","https://openalex.org/W2075779585","https://openalex.org/W2079233604","https://openalex.org/W2103338880","https://openalex.org/W2115163964","https://openalex.org/W4300157461"],"related_works":["https://openalex.org/W2286180210","https://openalex.org/W2118964038","https://openalex.org/W3122603174","https://openalex.org/W3123344415","https://openalex.org/W2987188948","https://openalex.org/W4386876230","https://openalex.org/W3126064821","https://openalex.org/W3124173719","https://openalex.org/W1852351394","https://openalex.org/W3125127785"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
