{"id":"https://openalex.org/W1893630115","doi":"https://doi.org/10.1007/978-3-642-22833-9_27","title":"Pricing Convertible Bonds Using the CGMY Model","display_name":"Pricing Convertible Bonds Using the CGMY Model","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W1893630115","doi":"https://doi.org/10.1007/978-3-642-22833-9_27","mag":"1893630115"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-22833-9_27","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-22833-9_27","pdf_url":null,"source":{"id":"https://openalex.org/S4210208846","display_name":"Advances in intelligent and soft computing","issn_l":"1867-5662","issn":["1867-5662","1867-5670"],"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":"Advances in Intelligent and Soft Computing","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/A5037902137","display_name":"Coenraad C.A. Labuschagne","orcid":"https://orcid.org/0000-0001-8587-4687"},"institutions":[{"id":"https://openalex.org/I192619145","display_name":"University of the Witwatersrand","ror":"https://ror.org/03rp50x72","country_code":"ZA","type":"education","lineage":["https://openalex.org/I192619145"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Coenraad C. A. Labuschagne","raw_affiliation_strings":["School of Computational and Applied Mathematics, University of the Witwatersrand, South Africa"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Computational and Applied Mathematics, University of the Witwatersrand, South Africa","institution_ids":["https://openalex.org/I192619145"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069012784","display_name":"Theresa M. Offwood","orcid":null},"institutions":[{"id":"https://openalex.org/I192619145","display_name":"University of the Witwatersrand","ror":"https://ror.org/03rp50x72","country_code":"ZA","type":"education","lineage":["https://openalex.org/I192619145"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Theresa M. Offwood","raw_affiliation_strings":["School of Computational and Applied Mathematics, University of the Witwatersrand, South Africa"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Computational and Applied Mathematics, University of the Witwatersrand, South Africa","institution_ids":["https://openalex.org/I192619145"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I192619145"],"apc_list":null,"apc_paid":null,"fwci":1.2416,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.84678391,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"231","last_page":"238"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"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":0.9990000128746033,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9884999990463257,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9559000134468079,"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/convertible-bond","display_name":"Convertible bond","score":0.8912765979766846},{"id":"https://openalex.org/keywords/convertible","display_name":"Convertible","score":0.6795870661735535},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.5860569477081299},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.5813051462173462},{"id":"https://openalex.org/keywords/stock-price","display_name":"Stock price","score":0.575537919998169},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5463283061981201},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.5447269082069397},{"id":"https://openalex.org/keywords/convertible-arbitrage","display_name":"Convertible arbitrage","score":0.5154403448104858},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.47889629006385803},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.39223361015319824},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3326037526130676},{"id":"https://openalex.org/keywords/economy","display_name":"Economy","score":0.14586743712425232},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.1314537525177002},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.13114267587661743},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.12598830461502075},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11971330642700195},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.07679349184036255},{"id":"https://openalex.org/keywords/geology","display_name":"Geology","score":0.0647541880607605},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.0557800829410553},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.05050939321517944},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.045057445764541626}],"concepts":[{"id":"https://openalex.org/C192081164","wikidata":"https://www.wikidata.org/wiki/Q1056625","display_name":"Convertible bond","level":3,"score":0.8912765979766846},{"id":"https://openalex.org/C2776116443","wikidata":"https://www.wikidata.org/wiki/Q55989","display_name":"Convertible","level":2,"score":0.6795870661735535},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.5860569477081299},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5813051462173462},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.575537919998169},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5463283061981201},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5447269082069397},{"id":"https://openalex.org/C171493342","wikidata":"https://www.wikidata.org/wiki/Q5166503","display_name":"Convertible arbitrage","level":5,"score":0.5154403448104858},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.47889629006385803},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.39223361015319824},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3326037526130676},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.14586743712425232},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.1314537525177002},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.13114267587661743},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.12598830461502075},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11971330642700195},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07679349184036255},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.0647541880607605},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.0557800829410553},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.05050939321517944},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.045057445764541626},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-642-22833-9_27","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-22833-9_27","pdf_url":null,"source":{"id":"https://openalex.org/S4210208846","display_name":"Advances in intelligent and soft computing","issn_l":"1867-5662","issn":["1867-5662","1867-5670"],"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":"Advances in Intelligent and Soft Computing","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":8,"referenced_works":["https://openalex.org/W1480459000","https://openalex.org/W1980519218","https://openalex.org/W1994858552","https://openalex.org/W2014004606","https://openalex.org/W2123446302","https://openalex.org/W2138540172","https://openalex.org/W4235708440","https://openalex.org/W4240889859"],"related_works":["https://openalex.org/W2390482838","https://openalex.org/W592649936","https://openalex.org/W3124744516","https://openalex.org/W609833282","https://openalex.org/W1979999352","https://openalex.org/W4388130578","https://openalex.org/W4294253067","https://openalex.org/W4363609171","https://openalex.org/W2298258368","https://openalex.org/W2352064425"],"abstract_inverted_index":null,"counts_by_year":[{"year":2014,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
