{"id":"https://openalex.org/W160657190","doi":"https://doi.org/10.1007/978-3-540-24767-8_72","title":"Fast Fourier Transform for Option Pricing: Improved Mathematical Modeling and Design of Efficient Parallel Algorithm","display_name":"Fast Fourier Transform for Option Pricing: Improved Mathematical Modeling and Design of Efficient Parallel Algorithm","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W160657190","doi":"https://doi.org/10.1007/978-3-540-24767-8_72","mag":"160657190"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-540-24767-8_72","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-540-24767-8_72","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/A5046105539","display_name":"Sajib Barua","orcid":"https://orcid.org/0000-0002-3383-8577"},"institutions":[{"id":"https://openalex.org/I46247651","display_name":"University of Manitoba","ror":"https://ror.org/02gfys938","country_code":"CA","type":"education","lineage":["https://openalex.org/I46247651"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Sajib Barua","raw_affiliation_strings":["Department of Computer Science, University of Manitoba, Winnipeg, Canada","University of Manitoba"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Manitoba, Winnipeg, Canada","institution_ids":["https://openalex.org/I46247651"]},{"raw_affiliation_string":"University of Manitoba","institution_ids":["https://openalex.org/I46247651"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5013006175","display_name":"Ruppa K. Thulasiram","orcid":"https://orcid.org/0000-0002-6519-3929"},"institutions":[{"id":"https://openalex.org/I46247651","display_name":"University of Manitoba","ror":"https://ror.org/02gfys938","country_code":"CA","type":"education","lineage":["https://openalex.org/I46247651"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Ruppa K. Thulasiram","raw_affiliation_strings":["Department of Computer Science, University of Manitoba, Winnipeg, Canada","University of Manitoba"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Manitoba, Winnipeg, Canada","institution_ids":["https://openalex.org/I46247651"]},{"raw_affiliation_string":"University of Manitoba","institution_ids":["https://openalex.org/I46247651"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5028631410","display_name":"Parimala Thulasiraman","orcid":"https://orcid.org/0000-0002-6445-3629"},"institutions":[{"id":"https://openalex.org/I46247651","display_name":"University of Manitoba","ror":"https://ror.org/02gfys938","country_code":"CA","type":"education","lineage":["https://openalex.org/I46247651"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Parimala Thulasiraman","raw_affiliation_strings":["Department of Computer Science, University of Manitoba, Winnipeg, Canada","University of Manitoba"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Manitoba, Winnipeg, Canada","institution_ids":["https://openalex.org/I46247651"]},{"raw_affiliation_string":"University of Manitoba","institution_ids":["https://openalex.org/I46247651"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5046105539"],"corresponding_institution_ids":["https://openalex.org/I46247651"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":5.1192,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.95281887,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"686","last_page":"695"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9749000072479248,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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":0.9674999713897705,"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/fast-fourier-transform","display_name":"Fast Fourier transform","score":0.8647382855415344},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.8022228479385376},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.5777275562286377},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.5344478487968445},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.5099195241928101},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.4888598322868347},{"id":"https://openalex.org/keywords/prime-factor-fft-algorithm","display_name":"Prime-factor FFT algorithm","score":0.48334309458732605},{"id":"https://openalex.org/keywords/cooley\u2013tukey-fft-algorithm","display_name":"Cooley\u2013Tukey FFT algorithm","score":0.4500654935836792},{"id":"https://openalex.org/keywords/grid","display_name":"Grid","score":0.43641185760498047},{"id":"https://openalex.org/keywords/parallel-algorithm","display_name":"Parallel algorithm","score":0.4153587222099304},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.41021373867988586},{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.36540448665618896},{"id":"https://openalex.org/keywords/fourier-analysis","display_name":"Fourier analysis","score":0.15690657496452332},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.11016952991485596},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.06662756204605103}],"concepts":[{"id":"https://openalex.org/C75172450","wikidata":"https://www.wikidata.org/wiki/Q623950","display_name":"Fast Fourier transform","level":2,"score":0.8647382855415344},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.8022228479385376},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.5777275562286377},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.5344478487968445},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.5099195241928101},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.4888598322868347},{"id":"https://openalex.org/C77928272","wikidata":"https://www.wikidata.org/wiki/Q7243214","display_name":"Prime-factor FFT algorithm","level":5,"score":0.48334309458732605},{"id":"https://openalex.org/C1370844","wikidata":"https://www.wikidata.org/wiki/Q5167446","display_name":"Cooley\u2013Tukey FFT algorithm","level":3,"score":0.4500654935836792},{"id":"https://openalex.org/C187691185","wikidata":"https://www.wikidata.org/wiki/Q2020720","display_name":"Grid","level":2,"score":0.43641185760498047},{"id":"https://openalex.org/C120373497","wikidata":"https://www.wikidata.org/wiki/Q1087987","display_name":"Parallel algorithm","level":2,"score":0.4153587222099304},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.41021373867988586},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.36540448665618896},{"id":"https://openalex.org/C203024314","wikidata":"https://www.wikidata.org/wiki/Q1365258","display_name":"Fourier analysis","level":3,"score":0.15690657496452332},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.11016952991485596},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.06662756204605103},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.0},{"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/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C166386157","wikidata":"https://www.wikidata.org/wiki/Q1477735","display_name":"Short-time Fourier transform","level":4,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/978-3-540-24767-8_72","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-540-24767-8_72","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"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.126.2494","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.126.2494","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://mspace.lib.umanitoba.ca/dspace/bitstream/1993/120/1/thesis.pdf","raw_type":"text"},{"id":"pmh:oai:collectionscanada.gc.ca:MWU.1993/120","is_oa":false,"landing_page_url":"http://hdl.handle.net/1993/120","pdf_url":null,"source":{"id":"https://openalex.org/S4306402307","display_name":"Library and Archives Canada (Government of Canada)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I2802286613","host_organization_name":"Government of Canada","host_organization_lineage":["https://openalex.org/I2802286613"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Electronic Thesis or Dissertation"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W93337012","https://openalex.org/W318426756","https://openalex.org/W1480459000","https://openalex.org/W1543427961","https://openalex.org/W1558904529","https://openalex.org/W1571438983","https://openalex.org/W1576210310","https://openalex.org/W1576907413","https://openalex.org/W1578340357","https://openalex.org/W1605914096","https://openalex.org/W1813030236","https://openalex.org/W1831254627","https://openalex.org/W1964766724","https://openalex.org/W1974418079","https://openalex.org/W1982039177","https://openalex.org/W1983618156","https://openalex.org/W2038729234","https://openalex.org/W2041950642","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2090083338","https://openalex.org/W2091692923","https://openalex.org/W2100190417","https://openalex.org/W2115261391","https://openalex.org/W2118657680","https://openalex.org/W2122427319","https://openalex.org/W2134321573","https://openalex.org/W2146612430","https://openalex.org/W2148688139","https://openalex.org/W2158912030","https://openalex.org/W2212522952","https://openalex.org/W2790528949","https://openalex.org/W2797997487","https://openalex.org/W3122390195","https://openalex.org/W3122587820","https://openalex.org/W3124475197","https://openalex.org/W3145128584"],"related_works":["https://openalex.org/W2042527476","https://openalex.org/W2030727626","https://openalex.org/W2066431770","https://openalex.org/W4246835537","https://openalex.org/W2012363129","https://openalex.org/W3046688035","https://openalex.org/W2006537647","https://openalex.org/W1984254719","https://openalex.org/W2144412928","https://openalex.org/W3046243388"],"abstract_inverted_index":null,"counts_by_year":[{"year":2019,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}