{"id":"https://openalex.org/W14437527","doi":"https://doi.org/10.1007/978-3-642-24151-2_7","title":"Parallel Binomial Valuation of American Options with Proportional Transaction Costs","display_name":"Parallel Binomial Valuation of American Options with Proportional Transaction Costs","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W14437527","doi":"https://doi.org/10.1007/978-3-642-24151-2_7","mag":"14437527"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-24151-2_7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-24151-2_7","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":"conference-paper","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/A5100331337","display_name":"Nan Zhang","orcid":"https://orcid.org/0000-0003-3494-5806"},"institutions":[{"id":"https://openalex.org/I69356397","display_name":"Xi\u2019an Jiaotong-Liverpool University","ror":"https://ror.org/03zmrmn05","country_code":"CN","type":"education","lineage":["https://openalex.org/I69356397"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Nan Zhang","raw_affiliation_strings":["Department of Computer Science and Software Engineering, Xi\u2019an Jiaotong-Liverpool University, China","Department of Computer Science and Software Engineering, Xi'an Jiaotong-Liverpool University, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Software Engineering, Xi\u2019an Jiaotong-Liverpool University, China","institution_ids":["https://openalex.org/I69356397"]},{"raw_affiliation_string":"Department of Computer Science and Software Engineering, Xi'an Jiaotong-Liverpool University, China","institution_ids":["https://openalex.org/I69356397"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5065315595","display_name":"Alet Roux","orcid":"https://orcid.org/0000-0001-9176-4468"},"institutions":[{"id":"https://openalex.org/I52099693","display_name":"University of York","ror":"https://ror.org/04m01e293","country_code":"GB","type":"education","lineage":["https://openalex.org/I52099693"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Alet Roux","raw_affiliation_strings":["Department of Mathematics, University of York, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of York, UK","institution_ids":["https://openalex.org/I52099693"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5050316592","display_name":"Tomasz Zastawniak","orcid":null},"institutions":[{"id":"https://openalex.org/I52099693","display_name":"University of York","ror":"https://ror.org/04m01e293","country_code":"GB","type":"education","lineage":["https://openalex.org/I52099693"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Tomasz Zastawniak","raw_affiliation_strings":["Department of Mathematics, University of York, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of York, UK","institution_ids":["https://openalex.org/I52099693"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"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":1,"citation_normalized_percentile":{"value":0.00157109,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"88","last_page":"97"},"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/T11697","display_name":"Numerical Methods and Algorithms","score":0.9490000009536743,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9408000111579895,"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/binomial-options-pricing-model","display_name":"Binomial options pricing model","score":0.8414981365203857},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.8236888647079468},{"id":"https://openalex.org/keywords/trinomial-tree","display_name":"Trinomial tree","score":0.5887101888656616},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5877813696861267},{"id":"https://openalex.org/keywords/posix-threads","display_name":"POSIX Threads","score":0.5854296088218689},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.576483964920044},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.51402747631073},{"id":"https://openalex.org/keywords/binomial","display_name":"Binomial (polynomial)","score":0.4756490886211395},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.45478877425193787},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.4454626441001892},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.33027583360671997},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.16102513670921326},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.15207427740097046},{"id":"https://openalex.org/keywords/thread","display_name":"Thread (computing)","score":0.1338251233100891},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.13195917010307312},{"id":"https://openalex.org/keywords/database","display_name":"Database","score":0.12810814380645752},{"id":"https://openalex.org/keywords/operating-system","display_name":"Operating system","score":0.11538553237915039},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.0678970217704773}],"concepts":[{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.8414981365203857},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.8236888647079468},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.5887101888656616},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5877813696861267},{"id":"https://openalex.org/C41138395","wikidata":"https://www.wikidata.org/wiki/Q928112","display_name":"POSIX Threads","level":3,"score":0.5854296088218689},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.576483964920044},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.51402747631073},{"id":"https://openalex.org/C2781315470","wikidata":"https://www.wikidata.org/wiki/Q193623","display_name":"Binomial (polynomial)","level":2,"score":0.4756490886211395},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.45478877425193787},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.4454626441001892},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.33027583360671997},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16102513670921326},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.15207427740097046},{"id":"https://openalex.org/C138101251","wikidata":"https://www.wikidata.org/wiki/Q213092","display_name":"Thread (computing)","level":2,"score":0.1338251233100891},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13195917010307312},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.12810814380645752},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.11538553237915039},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0678970217704773},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-642-24151-2_7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-24151-2_7","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":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W1498830150","https://openalex.org/W1503295912","https://openalex.org/W1569198079","https://openalex.org/W1977050390","https://openalex.org/W2032473738","https://openalex.org/W2045759226","https://openalex.org/W2052667454","https://openalex.org/W2077791698","https://openalex.org/W2080800974","https://openalex.org/W2167876850","https://openalex.org/W2489360457","https://openalex.org/W2494404592","https://openalex.org/W2496571351","https://openalex.org/W4231057775"],"related_works":["https://openalex.org/W3201761445","https://openalex.org/W2374360728","https://openalex.org/W4387382185","https://openalex.org/W2302475190","https://openalex.org/W1928861139","https://openalex.org/W4311889558","https://openalex.org/W2902898608","https://openalex.org/W2241632724","https://openalex.org/W2020454653","https://openalex.org/W2196480514"],"abstract_inverted_index":null,"counts_by_year":[{"year":2015,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}
