{"id":"https://openalex.org/W3124342673","doi":"https://doi.org/10.1007/s00780-006-0013-5","title":"A generalization of the Hull and White formula with applications to option pricing approximation","display_name":"A generalization of the Hull and White formula with applications to option pricing approximation","publication_year":2006,"publication_date":"2006-08-09","ids":{"openalex":"https://openalex.org/W3124342673","doi":"https://doi.org/10.1007/s00780-006-0013-5","mag":"3124342673"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-006-0013-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-006-0013-5","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"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":"Finance and Stochastics","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/A5086082641","display_name":"Elisa Al\u00f2s","orcid":"https://orcid.org/0000-0003-4234-0671"},"institutions":[{"id":"https://openalex.org/I170486558","display_name":"Pompeu Fabra University","ror":"https://ror.org/04n0g0b29","country_code":"ES","type":"education","lineage":["https://openalex.org/I170486558"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Elisa Al\u00f2s","raw_affiliation_strings":["Universitat Pompeu Fabra, c/Ramon Trias Fargas, 25-27, 08005, Barcelona, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universitat Pompeu Fabra, c/Ramon Trias Fargas, 25-27, 08005, Barcelona, Spain","institution_ids":["https://openalex.org/I170486558"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5086082641"],"corresponding_institution_ids":["https://openalex.org/I170486558"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":5.7305,"has_fulltext":false,"cited_by_count":67,"citation_normalized_percentile":{"value":0.96060396,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"10","issue":"3","first_page":"353","last_page":"365"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"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":0.9993000030517578,"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":0.9843999743461609,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9804999828338623,"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/valuation-of-options","display_name":"Valuation of options","score":0.653118908405304},{"id":"https://openalex.org/keywords/hull","display_name":"Hull","score":0.6125226616859436},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5860398411750793},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.565335750579834},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.5455042123794556},{"id":"https://openalex.org/keywords/malliavin-calculus","display_name":"Malliavin calculus","score":0.5211551189422607},{"id":"https://openalex.org/keywords/generalization","display_name":"Generalization","score":0.5194311141967773},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5085662603378296},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.508562445640564},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.4977772533893585},{"id":"https://openalex.org/keywords/white-noise","display_name":"White noise","score":0.4894927740097046},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4680955708026886},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4005448818206787},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.387470543384552},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.37672632932662964},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.12482786178588867},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.11262020468711853},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.10273146629333496},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.09439361095428467}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.653118908405304},{"id":"https://openalex.org/C37423430","wikidata":"https://www.wikidata.org/wiki/Q6750281","display_name":"Hull","level":2,"score":0.6125226616859436},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5860398411750793},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.565335750579834},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.5455042123794556},{"id":"https://openalex.org/C11505638","wikidata":"https://www.wikidata.org/wiki/Q6744166","display_name":"Malliavin calculus","level":4,"score":0.5211551189422607},{"id":"https://openalex.org/C177148314","wikidata":"https://www.wikidata.org/wiki/Q170084","display_name":"Generalization","level":2,"score":0.5194311141967773},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5085662603378296},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.508562445640564},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.4977772533893585},{"id":"https://openalex.org/C112633086","wikidata":"https://www.wikidata.org/wiki/Q381287","display_name":"White noise","level":2,"score":0.4894927740097046},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4680955708026886},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4005448818206787},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.387470543384552},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.37672632932662964},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.12482786178588867},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.11262020468711853},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.10273146629333496},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.09439361095428467},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.0},{"id":"https://openalex.org/C199104240","wikidata":"https://www.wikidata.org/wiki/Q118291","display_name":"Marine engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-006-0013-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-006-0013-5","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"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":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:finsto:v:10:y:2006:i:3:p:353-365","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-006-0013-5","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":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W1503295912","https://openalex.org/W1514815886","https://openalex.org/W1540184672","https://openalex.org/W1554577510","https://openalex.org/W1580561995","https://openalex.org/W1926706674","https://openalex.org/W1977153352","https://openalex.org/W1980900546","https://openalex.org/W2013134717","https://openalex.org/W2017297397","https://openalex.org/W2034258633","https://openalex.org/W2047774784","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2094206697","https://openalex.org/W2133157852","https://openalex.org/W2148080284","https://openalex.org/W2157858527","https://openalex.org/W3121383094","https://openalex.org/W3122885384","https://openalex.org/W3123271514","https://openalex.org/W3125505968","https://openalex.org/W4293510232"],"related_works":["https://openalex.org/W3183442954","https://openalex.org/W2752025792","https://openalex.org/W2968586561","https://openalex.org/W2062418210","https://openalex.org/W4311889558","https://openalex.org/W3106115764","https://openalex.org/W3123921940","https://openalex.org/W3161176953","https://openalex.org/W2088436879","https://openalex.org/W2076585441"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-06-28T08:01:55.173337","created_date":"2025-10-10T00:00:00"}