{"id":"https://openalex.org/W2606376523","doi":"https://doi.org/10.1007/s00500-017-2558-y","title":"Lookback option pricing problem of uncertain exponential Ornstein\u2013Uhlenbeck model","display_name":"Lookback option pricing problem of uncertain exponential Ornstein\u2013Uhlenbeck model","publication_year":2017,"publication_date":"2017-04-11","ids":{"openalex":"https://openalex.org/W2606376523","doi":"https://doi.org/10.1007/s00500-017-2558-y","mag":"2606376523"},"language":"en","primary_location":{"id":"doi:10.1007/s00500-017-2558-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00500-017-2558-y","pdf_url":null,"source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"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":"Soft Computing","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/A5024114005","display_name":"Yin Gao","orcid":"https://orcid.org/0000-0002-7900-384X"},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yin Gao","raw_affiliation_strings":["School of Information, Renmin University of China, Beijing, 100872, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Information, Renmin University of China, Beijing, 100872, China","institution_ids":["https://openalex.org/I78988378"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5023866159","display_name":"Xiangfeng Yang","orcid":"https://orcid.org/0000-0002-9792-9566"},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Xiangfeng Yang","raw_affiliation_strings":["School of Information Technology & Management, University of International Business & Economics, Beijing, 100029, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Information Technology & Management, University of International Business & Economics, Beijing, 100029, China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5029309082","display_name":"Zongfei Fu","orcid":null},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zongfei Fu","raw_affiliation_strings":["School of Information, Renmin University of China, Beijing, 100872, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Information, Renmin University of China, Beijing, 100872, China","institution_ids":["https://openalex.org/I78988378"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5023866159"],"corresponding_institution_ids":["https://openalex.org/I146563203"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":4.9775,"has_fulltext":false,"cited_by_count":51,"citation_normalized_percentile":{"value":0.95046922,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"22","issue":"17","first_page":"5647","last_page":"5654"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9937999844551086,"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":0.9937999844551086,"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/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9890999794006348,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9664000272750854,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/ornstein\u2013uhlenbeck-process","display_name":"Ornstein\u2013Uhlenbeck process","score":0.7445923089981079},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.6206573247909546},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5244805216789246},{"id":"https://openalex.org/keywords/point","display_name":"Point (geometry)","score":0.5173680186271667},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5141385197639465},{"id":"https://openalex.org/keywords/exotic-option","display_name":"Exotic option","score":0.4591187536716461},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4554944932460785},{"id":"https://openalex.org/keywords/put-option","display_name":"Put option","score":0.4474855363368988},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.4150416851043701},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.39093104004859924},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3514188826084137},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.33186471462249756},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.33030030131340027},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3065211772918701},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.20611083507537842},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07873424887657166}],"concepts":[{"id":"https://openalex.org/C31634936","wikidata":"https://www.wikidata.org/wiki/Q1757587","display_name":"Ornstein\u2013Uhlenbeck process","level":3,"score":0.7445923089981079},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.6206573247909546},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5244805216789246},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.5173680186271667},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5141385197639465},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.4591187536716461},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4554944932460785},{"id":"https://openalex.org/C2778311368","wikidata":"https://www.wikidata.org/wiki/Q1939618","display_name":"Put option","level":2,"score":0.4474855363368988},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4150416851043701},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.39093104004859924},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3514188826084137},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33186471462249756},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33030030131340027},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3065211772918701},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.20611083507537842},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07873424887657166},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","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}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00500-017-2558-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00500-017-2558-y","pdf_url":null,"source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"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":"Soft Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.44999998807907104,"display_name":"Reduced inequalities","id":"https://metadata.un.org/sdg/10"}],"awards":[{"id":"https://openalex.org/G8716911740","display_name":null,"funder_award_id":"61374082","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1964364544","https://openalex.org/W2006284558","https://openalex.org/W2051563587","https://openalex.org/W2057112219","https://openalex.org/W2063532481","https://openalex.org/W2071575826","https://openalex.org/W2085068845","https://openalex.org/W2091403477","https://openalex.org/W2112418185","https://openalex.org/W2128376191","https://openalex.org/W2132842594","https://openalex.org/W2139905755","https://openalex.org/W2151376743","https://openalex.org/W2152380123","https://openalex.org/W2159601837","https://openalex.org/W2163991121","https://openalex.org/W2188165202","https://openalex.org/W2274279545","https://openalex.org/W2345628073","https://openalex.org/W2484638022","https://openalex.org/W2515877265","https://openalex.org/W2519107433","https://openalex.org/W2523879549","https://openalex.org/W2912189486","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W84701208","https://openalex.org/W22137830","https://openalex.org/W2064461723","https://openalex.org/W3031647261","https://openalex.org/W2387777833","https://openalex.org/W2042684503","https://openalex.org/W118928193","https://openalex.org/W2124703852","https://openalex.org/W2382167246","https://openalex.org/W1498271422"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":11},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2}],"updated_date":"2026-05-05T08:41:31.759640","created_date":"2025-10-10T00:00:00"}
