{"id":"https://openalex.org/W2017001821","doi":"https://doi.org/10.1007/s00780-006-0031-3","title":"Additive and multiplicative duals for American option pricing","display_name":"Additive and multiplicative duals for American option pricing","publication_year":2007,"publication_date":"2007-01-09","ids":{"openalex":"https://openalex.org/W2017001821","doi":"https://doi.org/10.1007/s00780-006-0031-3","mag":"2017001821"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-006-0031-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-006-0031-3","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/A5100442850","display_name":"Nan Chen","orcid":"https://orcid.org/0000-0002-2176-6123"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"CN","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Nan Chen","raw_affiliation_strings":["Department of System Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong"],"affiliations":[{"raw_affiliation_string":"Department of System Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026619574","display_name":"Paul Glasserman","orcid":"https://orcid.org/0000-0002-9577-0205"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Paul Glasserman","raw_affiliation_strings":["Graduate School of Business, Columbia University, New York, NY, 10027, USA"],"affiliations":[{"raw_affiliation_string":"Graduate School of Business, Columbia University, New York, NY, 10027, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100442850"],"corresponding_institution_ids":["https://openalex.org/I177725633"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":8.5332,"has_fulltext":false,"cited_by_count":71,"citation_normalized_percentile":{"value":0.97488152,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"11","issue":"2","first_page":"153","last_page":"179"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9915000200271606,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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":0.9894999861717224,"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/multiplicative-function","display_name":"Multiplicative function","score":0.7272276878356934},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7105613946914673},{"id":"https://openalex.org/keywords/weak-duality","display_name":"Weak duality","score":0.6234187483787537},{"id":"https://openalex.org/keywords/dual-polyhedron","display_name":"Dual polyhedron","score":0.6163541674613953},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.5887612104415894},{"id":"https://openalex.org/keywords/dual","display_name":"Dual (grammatical number)","score":0.5615508556365967},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5173782110214233},{"id":"https://openalex.org/keywords/duality","display_name":"Duality (order theory)","score":0.5048299431800842},{"id":"https://openalex.org/keywords/minimax","display_name":"Minimax","score":0.49078091979026794},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4691575765609741},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.44734713435173035},{"id":"https://openalex.org/keywords/upper-and-lower-bounds","display_name":"Upper and lower bounds","score":0.4442567825317383},{"id":"https://openalex.org/keywords/duality-gap","display_name":"Duality gap","score":0.4227922856807709},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.40548160672187805},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.37024790048599243},{"id":"https://openalex.org/keywords/combinatorics","display_name":"Combinatorics","score":0.1879694163799286},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.15115174651145935},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.134908527135849},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.12787047028541565},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.12533864378929138}],"concepts":[{"id":"https://openalex.org/C42747912","wikidata":"https://www.wikidata.org/wiki/Q1048447","display_name":"Multiplicative function","level":2,"score":0.7272276878356934},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7105613946914673},{"id":"https://openalex.org/C80682859","wikidata":"https://www.wikidata.org/wiki/Q7977943","display_name":"Weak duality","level":4,"score":0.6234187483787537},{"id":"https://openalex.org/C105313907","wikidata":"https://www.wikidata.org/wiki/Q1053857","display_name":"Dual polyhedron","level":2,"score":0.6163541674613953},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.5887612104415894},{"id":"https://openalex.org/C2780980858","wikidata":"https://www.wikidata.org/wiki/Q110022","display_name":"Dual (grammatical number)","level":2,"score":0.5615508556365967},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5173782110214233},{"id":"https://openalex.org/C2778023678","wikidata":"https://www.wikidata.org/wiki/Q554403","display_name":"Duality (order theory)","level":2,"score":0.5048299431800842},{"id":"https://openalex.org/C149728462","wikidata":"https://www.wikidata.org/wiki/Q751319","display_name":"Minimax","level":2,"score":0.49078091979026794},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4691575765609741},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.44734713435173035},{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.4442567825317383},{"id":"https://openalex.org/C5274546","wikidata":"https://www.wikidata.org/wiki/Q5310264","display_name":"Duality gap","level":3,"score":0.4227922856807709},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.40548160672187805},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37024790048599243},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.1879694163799286},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.15115174651145935},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.134908527135849},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.12787047028541565},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.12533864378929138},{"id":"https://openalex.org/C124952713","wikidata":"https://www.wikidata.org/wiki/Q8242","display_name":"Literature","level":1,"score":0.0},{"id":"https://openalex.org/C142362112","wikidata":"https://www.wikidata.org/wiki/Q735","display_name":"Art","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-006-0031-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-006-0031-3","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:11:y:2007:i:2:p:153-179","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-006-0031-3","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":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W1577527822","https://openalex.org/W1580561995","https://openalex.org/W1593130155","https://openalex.org/W1602773783","https://openalex.org/W1963748947","https://openalex.org/W1965399019","https://openalex.org/W2017684264","https://openalex.org/W2124119855","https://openalex.org/W2126311658","https://openalex.org/W2137824542","https://openalex.org/W2164131080","https://openalex.org/W2462012676","https://openalex.org/W3029645440","https://openalex.org/W3122113998","https://openalex.org/W3124696154","https://openalex.org/W4237807685","https://openalex.org/W4256362471","https://openalex.org/W4293775970","https://openalex.org/W6635962571"],"related_works":["https://openalex.org/W4286913093","https://openalex.org/W2062551957","https://openalex.org/W2155425983","https://openalex.org/W640885572","https://openalex.org/W2091041828","https://openalex.org/W1543906886","https://openalex.org/W3123636160","https://openalex.org/W3124627167","https://openalex.org/W3122524279","https://openalex.org/W4294646201"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":7}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}