{"id":"https://openalex.org/W2071324773","doi":"https://doi.org/10.1007/s10287-009-0109-4","title":"Pricing cliquet options by tree methods","display_name":"Pricing cliquet options by tree methods","publication_year":2009,"publication_date":"2009-09-18","ids":{"openalex":"https://openalex.org/W2071324773","doi":"https://doi.org/10.1007/s10287-009-0109-4","mag":"2071324773"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-009-0109-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-009-0109-4","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","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/A5043837361","display_name":"Marcellino Gaudenzi","orcid":"https://orcid.org/0000-0003-0366-3435"},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Marcellino Gaudenzi","raw_affiliation_strings":["Dipartimento di Finanza dell\u2019Impresa e dei Mercati Finanziari, University of Udine, Via Tomadini 30/a, 33100, Udine, Italy","University of Udine"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Finanza dell\u2019Impresa e dei Mercati Finanziari, University of Udine, Via Tomadini 30/a, 33100, Udine, Italy","institution_ids":["https://openalex.org/I129043915"]},{"raw_affiliation_string":"University of Udine","institution_ids":["https://openalex.org/I129043915"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5043863727","display_name":"Antonino Zanette","orcid":"https://orcid.org/0000-0001-5958-9014"},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Antonino Zanette","raw_affiliation_strings":["Dipartimento di Finanza dell\u2019Impresa e dei Mercati Finanziari, University of Udine, Via Tomadini 30/a, 33100, Udine, Italy","University of Udine"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Finanza dell\u2019Impresa e dei Mercati Finanziari, University of Udine, Via Tomadini 30/a, 33100, Udine, Italy","institution_ids":["https://openalex.org/I129043915"]},{"raw_affiliation_string":"University of Udine","institution_ids":["https://openalex.org/I129043915"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5043837361"],"corresponding_institution_ids":["https://openalex.org/I129043915"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.19732638,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"8","issue":"1-2","first_page":"125","last_page":"135"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"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":0.9995999932289124,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9833999872207642,"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/T12137","display_name":"Economic theories and models","score":0.9775000214576721,"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/binomial-options-pricing-model","display_name":"Binomial options pricing model","score":0.9162943363189697},{"id":"https://openalex.org/keywords/trinomial-tree","display_name":"Trinomial tree","score":0.6064877510070801},{"id":"https://openalex.org/keywords/piecewise","display_name":"Piecewise","score":0.5638604164123535},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5614714622497559},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5555979609489441},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.5073129534721375},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.4838894307613373},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4634115397930145},{"id":"https://openalex.org/keywords/tree","display_name":"Tree (set theory)","score":0.4603741765022278},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.45694953203201294},{"id":"https://openalex.org/keywords/constant","display_name":"Constant (computer programming)","score":0.4457536041736603},{"id":"https://openalex.org/keywords/point","display_name":"Point (geometry)","score":0.4428299069404602},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.43524059653282166},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.25799232721328735},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.24550697207450867},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1465211808681488},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.11775431036949158}],"concepts":[{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.9162943363189697},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.6064877510070801},{"id":"https://openalex.org/C164660894","wikidata":"https://www.wikidata.org/wiki/Q2037833","display_name":"Piecewise","level":2,"score":0.5638604164123535},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5614714622497559},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5555979609489441},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.5073129534721375},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.4838894307613373},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4634115397930145},{"id":"https://openalex.org/C113174947","wikidata":"https://www.wikidata.org/wiki/Q2859736","display_name":"Tree (set theory)","level":2,"score":0.4603741765022278},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.45694953203201294},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.4457536041736603},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.4428299069404602},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.43524059653282166},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25799232721328735},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.24550697207450867},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1465211808681488},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.11775431036949158},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","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/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-009-0109-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-009-0109-4","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:8:y:2011:i:1:p:125-135","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10287-009-0109-4","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"},{"id":"pmh:oai:air.uniud.it:11390/696685","is_oa":false,"landing_page_url":"http://hdl.handle.net/11390/696685","pdf_url":null,"source":{"id":"https://openalex.org/S4306401163","display_name":"Institutional Research Information System (University of Udine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I129043915","host_organization_name":"University of Udine","host_organization_lineage":["https://openalex.org/I129043915"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"1.1 Articolo in rivista"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":6,"referenced_works":["https://openalex.org/W1964377184","https://openalex.org/W2002641938","https://openalex.org/W2086551551","https://openalex.org/W2106641117","https://openalex.org/W2146612430","https://openalex.org/W4302367620"],"related_works":["https://openalex.org/W3201761445","https://openalex.org/W4387382185","https://openalex.org/W2397307353","https://openalex.org/W4311889558","https://openalex.org/W2968586561","https://openalex.org/W3183442954","https://openalex.org/W2808554052","https://openalex.org/W2062418210","https://openalex.org/W2076585441","https://openalex.org/W1569181796"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2016-06-24T00:00:00"}