{"id":"https://openalex.org/W2054388137","doi":"https://doi.org/10.1007/s00780-012-0177-0","title":"A decomposition formula for option prices in the Heston model and applications to option pricing approximation","display_name":"A decomposition formula for option prices in the Heston model and applications to option pricing approximation","publication_year":2012,"publication_date":"2012-04-03","ids":{"openalex":"https://openalex.org/W2054388137","doi":"https://doi.org/10.1007/s00780-012-0177-0","mag":"2054388137"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-012-0177-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-012-0177-0","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":["Dpt. d\u2019Economia i Empresa, Universitat Pompeu Fabra, Barcelona, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dpt. d\u2019Economia i Empresa, Universitat Pompeu Fabra, 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":5.7714,"has_fulltext":false,"cited_by_count":52,"citation_normalized_percentile":{"value":0.96195671,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"16","issue":"3","first_page":"403","last_page":"422"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"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":0.9998000264167786,"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":0.982699990272522,"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":0.9208999872207642,"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/implied-volatility","display_name":"Implied volatility","score":0.7592930197715759},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.7569280862808228},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.7563767433166504},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.7318828105926514},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6732373833656311},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.5912284851074219},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.5577363967895508},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5527785420417786},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5446755886077881},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5387926697731018},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.4986429214477539},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.46342480182647705},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.42426103353500366},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.422207772731781},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.23475134372711182}],"concepts":[{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.7592930197715759},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.7569280862808228},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7563767433166504},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.7318828105926514},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6732373833656311},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.5912284851074219},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.5577363967895508},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5527785420417786},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5446755886077881},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5387926697731018},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.4986429214477539},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.46342480182647705},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42426103353500366},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.422207772731781},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.23475134372711182}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-012-0177-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-012-0177-0","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:16:y:2012:i:3:p:403-422","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-012-0177-0","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":[{"id":"https://openalex.org/F4320322930","display_name":"Ministerio de Ciencia e Innovaci\u00f3n","ror":"https://ror.org/034900433"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W1514815886","https://openalex.org/W1910784921","https://openalex.org/W1926706674","https://openalex.org/W1964489504","https://openalex.org/W1977153352","https://openalex.org/W1980900546","https://openalex.org/W2064978316","https://openalex.org/W2084044200","https://openalex.org/W2094206697","https://openalex.org/W2109082027","https://openalex.org/W2148080284","https://openalex.org/W2157858527","https://openalex.org/W2166250331","https://openalex.org/W2903087059","https://openalex.org/W3121649785","https://openalex.org/W3124191912","https://openalex.org/W3124342673","https://openalex.org/W3125505968","https://openalex.org/W3126075186"],"related_works":["https://openalex.org/W1491092204","https://openalex.org/W1553884547","https://openalex.org/W2056972995","https://openalex.org/W1753084563","https://openalex.org/W4248560522","https://openalex.org/W3124162568","https://openalex.org/W2216396819","https://openalex.org/W3149241334","https://openalex.org/W1969018669","https://openalex.org/W2037891356"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":2}],"updated_date":"2026-06-28T08:01:55.173337","created_date":"2025-10-10T00:00:00"}