{"id":"https://openalex.org/W4386176356","doi":"https://doi.org/10.1007/s10479-023-05549-2","title":"An efficient unified approach for spread option pricing in a copula market model","display_name":"An efficient unified approach for spread option pricing in a copula market model","publication_year":2023,"publication_date":"2023-08-24","ids":{"openalex":"https://openalex.org/W4386176356","doi":"https://doi.org/10.1007/s10479-023-05549-2"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-023-05549-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-023-05549-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://air.unimi.it/bitstream/2434/994534/2/2112.11968.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051564362","display_name":"Edoardo Berton","orcid":"https://orcid.org/0009-0009-5966-1093"},"institutions":[{"id":"https://openalex.org/I103320735","display_name":"Universit\u00e0 Cattolica del Sacro Cuore","ror":"https://ror.org/03h7r5v07","country_code":"IT","type":"education","lineage":["https://openalex.org/I103320735"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Edoardo Berton","raw_affiliation_strings":["Dipartimento di Matematica per le Scienze Economiche, Finanziarie ed Attuariali (DIMSEFA), Universit\u00e1 Cattolica del Sacro Cuore, Milan, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Matematica per le Scienze Economiche, Finanziarie ed Attuariali (DIMSEFA), Universit\u00e1 Cattolica del Sacro Cuore, Milan, Italy","institution_ids":["https://openalex.org/I103320735"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053410651","display_name":"Lorenzo Mercuri","orcid":"https://orcid.org/0000-0003-0490-2952"},"institutions":[{"id":"https://openalex.org/I189158943","display_name":"University of Milan","ror":"https://ror.org/00wjc7c48","country_code":"IT","type":"education","lineage":["https://openalex.org/I189158943"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Lorenzo Mercuri","raw_affiliation_strings":["Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Universit\u00e1 degli Studi di Milano, Milan, Italy"],"raw_orcid":"https://orcid.org/0000-0003-0490-2952","affiliations":[{"raw_affiliation_string":"Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Universit\u00e1 degli Studi di Milano, Milan, Italy","institution_ids":["https://openalex.org/I189158943"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5053410651"],"corresponding_institution_ids":["https://openalex.org/I189158943"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":1.4429,"has_fulltext":true,"cited_by_count":6,"citation_normalized_percentile":{"value":0.82302958,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":96,"max":97},"biblio":{"volume":"336","issue":"1-2","first_page":"307","last_page":"329"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","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/T10282","display_name":"Financial Risk and Volatility Modeling","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/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"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/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.9858999848365784,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.6833043098449707},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6822554469108582},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6602604985237122},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.647890031337738},{"id":"https://openalex.org/keywords/univariate","display_name":"Univariate","score":0.633973240852356},{"id":"https://openalex.org/keywords/affine-transformation","display_name":"Affine transformation","score":0.591060221195221},{"id":"https://openalex.org/keywords/monte-carlo-methods-for-option-pricing","display_name":"Monte Carlo methods for option pricing","score":0.5574893951416016},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4719521105289459},{"id":"https://openalex.org/keywords/characteristic-function","display_name":"Characteristic function (probability theory)","score":0.44457608461380005},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4283478260040283},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.4279833436012268},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.42721492052078247},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.4244662821292877},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4236759841442108},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.42224055528640747},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.40579754114151},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.2441699206829071},{"id":"https://openalex.org/keywords/probability-density-function","display_name":"Probability density function","score":0.13553202152252197},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.12809357047080994},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12682297825813293},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.10722291469573975}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.6833043098449707},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6822554469108582},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6602604985237122},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.647890031337738},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.633973240852356},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.591060221195221},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.5574893951416016},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4719521105289459},{"id":"https://openalex.org/C20538924","wikidata":"https://www.wikidata.org/wiki/Q822139","display_name":"Characteristic function (probability theory)","level":3,"score":0.44457608461380005},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4283478260040283},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.4279833436012268},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.42721492052078247},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.4244662821292877},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4236759841442108},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.42224055528640747},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40579754114151},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.2441699206829071},{"id":"https://openalex.org/C197055811","wikidata":"https://www.wikidata.org/wiki/Q207522","display_name":"Probability density function","level":2,"score":0.13553202152252197},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.12809357047080994},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12682297825813293},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.10722291469573975},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10479-023-05549-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-023-05549-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:air.unimi.it:2434/994534","is_oa":true,"landing_page_url":"https://hdl.handle.net/2434/994534","pdf_url":"https://air.unimi.it/bitstream/2434/994534/2/2112.11968.pdf","source":{"id":"https://openalex.org/S4306400516","display_name":"Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I189158943","host_organization_name":"University of Milan","host_organization_lineage":["https://openalex.org/I189158943"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05549-2","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-023-05549-2","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":"pmh:oai:air.unimi.it:2434/994534","is_oa":true,"landing_page_url":"https://hdl.handle.net/2434/994534","pdf_url":"https://air.unimi.it/bitstream/2434/994534/2/2112.11968.pdf","source":{"id":"https://openalex.org/S4306400516","display_name":"Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I189158943","host_organization_name":"University of Milan","host_organization_lineage":["https://openalex.org/I189158943"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G6381513954","display_name":"\u5927\u898f\u6a21\u6642\u7a7a\u9593\u5f93\u5c5e\u6027\u30c7\u30fc\u30bf\u79d1\u5b66\u3078\u5411\u3051\u305f\u5148\u7aef\u7684\u78ba\u7387\u7d71\u8a08\u5b66\u306e\u65b0\u5c55\u958b","funder_award_id":"JPMJCR2115","funder_id":"https://openalex.org/F4320334789","funder_display_name":"Japan Science and Technology Agency"},{"id":"https://openalex.org/G7939374355","display_name":null,"funder_award_id":"JPMJCR2115","funder_id":"https://openalex.org/F4320338075","funder_display_name":"Core Research for Evolutional Science and Technology"}],"funders":[{"id":"https://openalex.org/F4320334789","display_name":"Japan Science and Technology Agency","ror":"https://ror.org/00097mb19"},{"id":"https://openalex.org/F4320338075","display_name":"Core Research for Evolutional Science and Technology","ror":"https://ror.org/00097mb19"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4386176356.pdf"},"referenced_works_count":44,"referenced_works":["https://openalex.org/W15761445","https://openalex.org/W180726880","https://openalex.org/W1486748438","https://openalex.org/W1975417936","https://openalex.org/W1978211602","https://openalex.org/W1979575715","https://openalex.org/W1980519218","https://openalex.org/W1982030118","https://openalex.org/W1982039177","https://openalex.org/W1999996900","https://openalex.org/W2021425373","https://openalex.org/W2025006397","https://openalex.org/W2031817855","https://openalex.org/W2049633694","https://openalex.org/W2063524840","https://openalex.org/W2064978316","https://openalex.org/W2066707813","https://openalex.org/W2082534952","https://openalex.org/W2094040025","https://openalex.org/W2100190417","https://openalex.org/W2123446302","https://openalex.org/W2157403008","https://openalex.org/W2184018645","https://openalex.org/W2314640094","https://openalex.org/W2744463887","https://openalex.org/W2903318503","https://openalex.org/W2971148889","https://openalex.org/W3017839540","https://openalex.org/W3047448979","https://openalex.org/W3121574170","https://openalex.org/W3122762537","https://openalex.org/W3123321876","https://openalex.org/W3123686478","https://openalex.org/W3124367289","https://openalex.org/W3124960685","https://openalex.org/W3125918326","https://openalex.org/W3138447687","https://openalex.org/W3196316267","https://openalex.org/W3209538834","https://openalex.org/W4226303875","https://openalex.org/W4229636038","https://openalex.org/W4238936397","https://openalex.org/W4245824926","https://openalex.org/W6646480627"],"related_works":["https://openalex.org/W4229988252","https://openalex.org/W1567672600","https://openalex.org/W2039282896","https://openalex.org/W2238911472","https://openalex.org/W3143492998","https://openalex.org/W2980961449","https://openalex.org/W2263238406","https://openalex.org/W4302762907","https://openalex.org/W3125233184","https://openalex.org/W3124398275"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":3}],"updated_date":"2026-07-29T09:40:50.615796","created_date":"2025-10-10T00:00:00"}