{"id":"https://openalex.org/W83366152","doi":"https://doi.org/10.1007/978-3-642-22833-9_29","title":"Pricing Formulas of Compound Options under the Fractional Brownian Motion","display_name":"Pricing Formulas of Compound Options under the Fractional Brownian Motion","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W83366152","doi":"https://doi.org/10.1007/978-3-642-22833-9_29","mag":"83366152"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-22833-9_29","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-22833-9_29","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/A5100606790","display_name":"Chao Zhang","orcid":"https://orcid.org/0000-0003-2363-069X"},"institutions":[{"id":"https://openalex.org/I21945476","display_name":"Shanghai Normal University","ror":"https://ror.org/01cxqmw89","country_code":"CN","type":"education","lineage":["https://openalex.org/I21945476"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chao Zhang","raw_affiliation_strings":["Department of Mathematics, Shanghai Normal University, Shanghai, 200234, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai Normal University, Shanghai, 200234, China","institution_ids":["https://openalex.org/I21945476"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5043432751","display_name":"Jizhou Zhang","orcid":"https://orcid.org/0000-0002-1015-0534"},"institutions":[{"id":"https://openalex.org/I21945476","display_name":"Shanghai Normal University","ror":"https://ror.org/01cxqmw89","country_code":"CN","type":"education","lineage":["https://openalex.org/I21945476"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jizhou Zhang","raw_affiliation_strings":["Department of Mathematics, Shanghai Normal University, Shanghai, 200234, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai Normal University, Shanghai, 200234, China","institution_ids":["https://openalex.org/I21945476"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5089634161","display_name":"DongYa Tao","orcid":null},"institutions":[{"id":"https://openalex.org/I118574674","display_name":"Jiangsu Normal University","ror":"https://ror.org/051hvcm98","country_code":"CN","type":"education","lineage":["https://openalex.org/I118574674"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Dongya Tao","raw_affiliation_strings":["School of Mathematical Sciences, Xuzhou Normal University, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences, Xuzhou Normal University, China","institution_ids":["https://openalex.org/I118574674"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.2416,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.82919778,"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":"247","last_page":"254"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"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":0.9994000196456909,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.944100022315979,"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":0.9218000173568726,"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/fractional-brownian-motion","display_name":"Fractional Brownian motion","score":0.8069074153900146},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.6614258289337158},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.543773353099823},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.4411034882068634},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4293980598449707},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.33785778284072876},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2120455503463745},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07379266619682312}],"concepts":[{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.8069074153900146},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.6614258289337158},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.543773353099823},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.4411034882068634},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4293980598449707},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.33785778284072876},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2120455503463745},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07379266619682312},{"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/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-642-22833-9_29","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-22833-9_29","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":17,"referenced_works":["https://openalex.org/W250046375","https://openalex.org/W649070193","https://openalex.org/W1503295912","https://openalex.org/W1506978447","https://openalex.org/W1978094758","https://openalex.org/W1987418661","https://openalex.org/W1995666097","https://openalex.org/W2031753087","https://openalex.org/W2077791698","https://openalex.org/W2103254903","https://openalex.org/W2113687945","https://openalex.org/W2123422002","https://openalex.org/W2150281008","https://openalex.org/W2319449187","https://openalex.org/W3203406682","https://openalex.org/W4210847241","https://openalex.org/W4234865600"],"related_works":["https://openalex.org/W3129602449","https://openalex.org/W2384879887","https://openalex.org/W2142979439","https://openalex.org/W2960646972","https://openalex.org/W2380610144","https://openalex.org/W2786290219","https://openalex.org/W2375736556","https://openalex.org/W2973226208","https://openalex.org/W2119732617","https://openalex.org/W3023283578"],"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"}
