{"id":"https://openalex.org/W2061802455","doi":"https://doi.org/10.1007/s10915-015-0001-z","title":"Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models","display_name":"Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models","publication_year":2015,"publication_date":"2015-03-03","ids":{"openalex":"https://openalex.org/W2061802455","doi":"https://doi.org/10.1007/s10915-015-0001-z","mag":"2061802455"},"language":"en","primary_location":{"id":"doi:10.1007/s10915-015-0001-z","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10915-015-0001-z","pdf_url":null,"source":{"id":"https://openalex.org/S151550017","display_name":"Journal of Scientific Computing","issn_l":"0885-7474","issn":["0885-7474","1573-7691"],"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":"Journal of Scientific Computing","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/A5110012684","display_name":"Mohan K. Kadalbajoo","orcid":null},"institutions":[{"id":"https://openalex.org/I94234084","display_name":"Indian Institute of Technology Kanpur","ror":"https://ror.org/05pjsgx75","country_code":"IN","type":"education","lineage":["https://openalex.org/I94234084"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Mohan K. Kadalbajoo","raw_affiliation_strings":["Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur, 208016, India","Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur,#N#India 208016"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur, 208016, India","institution_ids":["https://openalex.org/I94234084"]},{"raw_affiliation_string":"Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur,#N#India 208016","institution_ids":["https://openalex.org/I94234084"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018793676","display_name":"Lok Pati Tripathi","orcid":"https://orcid.org/0000-0001-5985-4658"},"institutions":[{"id":"https://openalex.org/I94234084","display_name":"Indian Institute of Technology Kanpur","ror":"https://ror.org/05pjsgx75","country_code":"IN","type":"education","lineage":["https://openalex.org/I94234084"]}],"countries":["IN"],"is_corresponding":true,"raw_author_name":"Lok Pati Tripathi","raw_affiliation_strings":["Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur, 208016, India","Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur,#N#India 208016"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur, 208016, India","institution_ids":["https://openalex.org/I94234084"]},{"raw_affiliation_string":"Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur,#N#India 208016","institution_ids":["https://openalex.org/I94234084"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048901794","display_name":"Alpesh Kumar","orcid":"https://orcid.org/0000-0001-9695-4594"},"institutions":[{"id":"https://openalex.org/I94234084","display_name":"Indian Institute of Technology Kanpur","ror":"https://ror.org/05pjsgx75","country_code":"IN","type":"education","lineage":["https://openalex.org/I94234084"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Alpesh Kumar","raw_affiliation_strings":["Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur, 208016, India","Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur,#N#India 208016"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur, 208016, India","institution_ids":["https://openalex.org/I94234084"]},{"raw_affiliation_string":"Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur,#N#India 208016","institution_ids":["https://openalex.org/I94234084"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5018793676"],"corresponding_institution_ids":["https://openalex.org/I94234084"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":3.5785,"has_fulltext":false,"cited_by_count":55,"citation_normalized_percentile":{"value":0.92762762,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"65","issue":"3","first_page":"979","last_page":"1024"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"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":0.9994000196456909,"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/T12727","display_name":"Differential Equations and Numerical Methods","score":0.994700014591217,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9581000208854675,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.849646806716919},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.7367007732391357},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.6472340226173401},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.598910927772522},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5235475897789001},{"id":"https://openalex.org/keywords/collocation","display_name":"Collocation (remote sensing)","score":0.512472927570343},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.48619288206100464},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.4331554174423218},{"id":"https://openalex.org/keywords/collocation-method","display_name":"Collocation method","score":0.42646947503089905},{"id":"https://openalex.org/keywords/stability","display_name":"Stability (learning theory)","score":0.42596524953842163},{"id":"https://openalex.org/keywords/differential-equation","display_name":"Differential equation","score":0.34436896443367004},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.2957691550254822},{"id":"https://openalex.org/keywords/ordinary-differential-equation","display_name":"Ordinary differential equation","score":0.18734559416770935},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.11923882365226746},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.08507418632507324}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.849646806716919},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7367007732391357},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.6472340226173401},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.598910927772522},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5235475897789001},{"id":"https://openalex.org/C80023036","wikidata":"https://www.wikidata.org/wiki/Q5147531","display_name":"Collocation (remote sensing)","level":2,"score":0.512472927570343},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.48619288206100464},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.4331554174423218},{"id":"https://openalex.org/C2126413","wikidata":"https://www.wikidata.org/wiki/Q1779479","display_name":"Collocation method","level":4,"score":0.42646947503089905},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.42596524953842163},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.34436896443367004},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.2957691550254822},{"id":"https://openalex.org/C51544822","wikidata":"https://www.wikidata.org/wiki/Q465274","display_name":"Ordinary differential equation","level":3,"score":0.18734559416770935},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.11923882365226746},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.08507418632507324},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s10915-015-0001-z","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10915-015-0001-z","pdf_url":null,"source":{"id":"https://openalex.org/S151550017","display_name":"Journal of Scientific Computing","issn_l":"0885-7474","issn":["0885-7474","1573-7691"],"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":"Journal of Scientific Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320721","display_name":"Council of Scientific and Industrial Research, India","ror":"https://ror.org/021wm7p51"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W623556437","https://openalex.org/W1480459000","https://openalex.org/W1499969990","https://openalex.org/W1537617638","https://openalex.org/W1557120076","https://openalex.org/W1974418079","https://openalex.org/W1980666017","https://openalex.org/W1991751874","https://openalex.org/W2000419761","https://openalex.org/W2014393474","https://openalex.org/W2049599235","https://openalex.org/W2062782716","https://openalex.org/W2064978316","https://openalex.org/W2076917666","https://openalex.org/W2076959590","https://openalex.org/W2077791698","https://openalex.org/W2081787832","https://openalex.org/W2084083490","https://openalex.org/W2112889352","https://openalex.org/W2115086321","https://openalex.org/W2118408949","https://openalex.org/W2118574463","https://openalex.org/W2138540172","https://openalex.org/W2142278738","https://openalex.org/W2144051128","https://openalex.org/W2148080284","https://openalex.org/W2151065060","https://openalex.org/W2169437869","https://openalex.org/W2955102602","https://openalex.org/W3122167020","https://openalex.org/W3124062437","https://openalex.org/W3124475197","https://openalex.org/W4213316159","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2288042208","https://openalex.org/W2045174452","https://openalex.org/W1968190566","https://openalex.org/W4312080235","https://openalex.org/W2092574460","https://openalex.org/W2311868464","https://openalex.org/W2966373877","https://openalex.org/W4255989838","https://openalex.org/W2593679222","https://openalex.org/W3164237665"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":8},{"year":2025,"cited_by_count":10},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":10},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":3},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}
