{"id":"https://openalex.org/W1971188578","doi":"https://doi.org/10.1007/s001860000097","title":"Pricing of the American option in discrete time under proportional transaction costs","display_name":"Pricing of the American option in discrete time under proportional transaction costs","publication_year":2001,"publication_date":"2001-04-05","ids":{"openalex":"https://openalex.org/W1971188578","doi":"https://doi.org/10.1007/s001860000097","mag":"1971188578"},"language":"en","primary_location":{"id":"doi:10.1007/s001860000097","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s001860000097","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research (ZOR)","raw_type":"journal-article"},"type":"article","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/A5004133581","display_name":"Marek Koci\u0144ski","orcid":"https://orcid.org/0000-0002-7669-6652"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Marek Koci\u0144ski","raw_affiliation_strings":["Department of Mathematical Statistics and Experimentation, Warsaw Agricultural University, Rakowiecka 26/30, 02-528 Warszawa, Poland (","Department of Mathematical Statistics and Experimentation, Warsaw Agricultural University, Rakowiecka 26/30, 02-528 Warszawa, Poland (E-mail: kocinski@delta.sggw.waw.pl), , PL"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Statistics and Experimentation, Warsaw Agricultural University, Rakowiecka 26/30, 02-528 Warszawa, Poland (","institution_ids":[]},{"raw_affiliation_string":"Department of Mathematical Statistics and Experimentation, Warsaw Agricultural University, Rakowiecka 26/30, 02-528 Warszawa, Poland (E-mail: kocinski@delta.sggw.waw.pl), , PL","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5004133581"],"corresponding_institution_ids":[],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.1778,"has_fulltext":false,"cited_by_count":12,"citation_normalized_percentile":{"value":0.83178581,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":96},"biblio":{"volume":"53","issue":"1","first_page":"67","last_page":"88"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973000288009644,"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":0.9973000288009644,"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":0.9397000074386597,"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/T12137","display_name":"Economic theories and models","score":0.9262999892234802,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.7361894845962524},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5997298955917358},{"id":"https://openalex.org/keywords/variable-pricing","display_name":"Variable pricing","score":0.5606651902198792},{"id":"https://openalex.org/keywords/discrete-time-and-continuous-time","display_name":"Discrete time and continuous time","score":0.5557041168212891},{"id":"https://openalex.org/keywords/equivalence","display_name":"Equivalence (formal languages)","score":0.5214880704879761},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.47899124026298523},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.4136570990085602},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3871466815471649},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3392559885978699},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3208514451980591},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3133106231689453},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12086448073387146},{"id":"https://openalex.org/keywords/discrete-mathematics","display_name":"Discrete mathematics","score":0.07363256812095642}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.7361894845962524},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5997298955917358},{"id":"https://openalex.org/C180925905","wikidata":"https://www.wikidata.org/wiki/Q7915726","display_name":"Variable pricing","level":2,"score":0.5606651902198792},{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.5557041168212891},{"id":"https://openalex.org/C2780069185","wikidata":"https://www.wikidata.org/wiki/Q7977945","display_name":"Equivalence (formal languages)","level":2,"score":0.5214880704879761},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.47899124026298523},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4136570990085602},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3871466815471649},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3392559885978699},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3208514451980591},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3133106231689453},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12086448073387146},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.07363256812095642}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s001860000097","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s001860000097","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research (ZOR)","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:compst:v:53:y:2001:i:1:p:67-88","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s001860000097","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1982720668","https://openalex.org/W2036776259","https://openalex.org/W2350852242","https://openalex.org/W2788380873","https://openalex.org/W2358179193","https://openalex.org/W4367295891","https://openalex.org/W2095226530","https://openalex.org/W2360972377","https://openalex.org/W2382924005","https://openalex.org/W2359153536"],"abstract_inverted_index":null,"counts_by_year":[{"year":2015,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
