{"id":"https://openalex.org/W1970777372","doi":"https://doi.org/10.1007/s00780-009-0090-3","title":"Double-sided Parisian option pricing","display_name":"Double-sided Parisian option pricing","publication_year":2009,"publication_date":"2009-01-29","ids":{"openalex":"https://openalex.org/W1970777372","doi":"https://doi.org/10.1007/s00780-009-0090-3","mag":"1970777372"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-009-0090-3","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-009-0090-3","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-009-0090-3.pdf","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":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","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":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s00780-009-0090-3.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5081899366","display_name":"Jasper Anderluh","orcid":null},"institutions":[{"id":"https://openalex.org/I98358874","display_name":"Delft University of Technology","ror":"https://ror.org/02e2c7k09","country_code":"NL","type":"education","lineage":["https://openalex.org/I98358874"]},{"id":"https://openalex.org/I4210093841","display_name":"Institute of Applied Mathematics","ror":"https://ror.org/00h9jx107","country_code":"RU","type":"facility","lineage":["https://openalex.org/I1313323035","https://openalex.org/I1313323035","https://openalex.org/I4210093841","https://openalex.org/I4210124601","https://openalex.org/I4210148470"]}],"countries":["NL","RU"],"is_corresponding":true,"raw_author_name":"J. H. M. Anderluh","raw_affiliation_strings":["TUDelft, Delft Institute of Applied Mathematics, P.O. Box 5031, 2600, GA Delft, The Netherlands","Delft Institute of Applied Mathematics"],"affiliations":[{"raw_affiliation_string":"TUDelft, Delft Institute of Applied Mathematics, P.O. Box 5031, 2600, GA Delft, The Netherlands","institution_ids":["https://openalex.org/I98358874"]},{"raw_affiliation_string":"Delft Institute of Applied Mathematics","institution_ids":["https://openalex.org/I4210093841"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5083231156","display_name":"J.A.M. van der Weide","orcid":"https://orcid.org/0000-0002-2207-5236"},"institutions":[{"id":"https://openalex.org/I4210093841","display_name":"Institute of Applied Mathematics","ror":"https://ror.org/00h9jx107","country_code":"RU","type":"facility","lineage":["https://openalex.org/I1313323035","https://openalex.org/I1313323035","https://openalex.org/I4210093841","https://openalex.org/I4210124601","https://openalex.org/I4210148470"]},{"id":"https://openalex.org/I98358874","display_name":"Delft University of Technology","ror":"https://ror.org/02e2c7k09","country_code":"NL","type":"education","lineage":["https://openalex.org/I98358874"]}],"countries":["NL","RU"],"is_corresponding":false,"raw_author_name":"J. A. M. van\u00a0der Weide","raw_affiliation_strings":["TUDelft, Delft Institute of Applied Mathematics, P.O. Box 5031, 2600, GA Delft, The Netherlands","Delft Institute of Applied Mathematics"],"affiliations":[{"raw_affiliation_string":"TUDelft, Delft Institute of Applied Mathematics, P.O. Box 5031, 2600, GA Delft, The Netherlands","institution_ids":["https://openalex.org/I98358874"]},{"raw_affiliation_string":"Delft Institute of Applied Mathematics","institution_ids":["https://openalex.org/I4210093841"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5081899366"],"corresponding_institution_ids":["https://openalex.org/I4210093841","https://openalex.org/I98358874"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.89735035,"has_fulltext":true,"cited_by_count":22,"citation_normalized_percentile":{"value":0.81986895,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"13","issue":"2","first_page":"205","last_page":"238"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998999834060669,"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":0.9998999834060669,"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":0.9836999773979187,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9660000205039978,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.6834101676940918},{"id":"https://openalex.org/keywords/excursion","display_name":"Excursion","score":0.6547216176986694},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6083318591117859},{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.6038841605186462},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.462921142578125},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.45699402689933777},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.45108091831207275},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.4407113790512085},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.32837337255477905},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.3012424111366272},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.28472864627838135},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.19693946838378906},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19630885124206543},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13396671414375305},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.09077310562133789}],"concepts":[{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.6834101676940918},{"id":"https://openalex.org/C2780550144","wikidata":"https://www.wikidata.org/wiki/Q1156976","display_name":"Excursion","level":2,"score":0.6547216176986694},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6083318591117859},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.6038841605186462},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.462921142578125},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.45699402689933777},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.45108091831207275},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.4407113790512085},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.32837337255477905},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.3012424111366272},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.28472864627838135},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.19693946838378906},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19630885124206543},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13396671414375305},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09077310562133789},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-009-0090-3","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-009-0090-3","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-009-0090-3.pdf","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":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","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:13:y:2009:i:2:p:205-238","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-009-0090-3","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":{"id":"doi:10.1007/s00780-009-0090-3","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-009-0090-3","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-009-0090-3.pdf","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":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1970777372.pdf","grobid_xml":"https://content.openalex.org/works/W1970777372.grobid-xml"},"referenced_works_count":27,"referenced_works":["https://openalex.org/W2458292","https://openalex.org/W1480459000","https://openalex.org/W1489605740","https://openalex.org/W1577527822","https://openalex.org/W1580561995","https://openalex.org/W1966688129","https://openalex.org/W1974481168","https://openalex.org/W1983255122","https://openalex.org/W1995417036","https://openalex.org/W2002697793","https://openalex.org/W2005171207","https://openalex.org/W2016090747","https://openalex.org/W2023970747","https://openalex.org/W2024746190","https://openalex.org/W2042207865","https://openalex.org/W2057269262","https://openalex.org/W2069193625","https://openalex.org/W2076162493","https://openalex.org/W2077791698","https://openalex.org/W2096663607","https://openalex.org/W2119847373","https://openalex.org/W2149583263","https://openalex.org/W2268323716","https://openalex.org/W2462356897","https://openalex.org/W2751862591","https://openalex.org/W3123310357","https://openalex.org/W3124164925"],"related_works":["https://openalex.org/W2923820179","https://openalex.org/W195479044","https://openalex.org/W2962747868","https://openalex.org/W2906677951","https://openalex.org/W2951494975","https://openalex.org/W2950874912","https://openalex.org/W2084927768","https://openalex.org/W1976991876","https://openalex.org/W2054092618","https://openalex.org/W3141528046"],"abstract_inverted_index":{"Parisian":[0],"options,":[1],"Excursions,":[2],"Fourier":[3],"inversion,":[4],"60G40,":[5],"62L15,":[6],"60J65,":[7],"G12,":[8],"G13,":[9]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":2}],"updated_date":"2026-02-09T09:26:11.010843","created_date":"2025-10-10T00:00:00"}