{"id":"https://openalex.org/W2345857373","doi":"https://doi.org/10.1007/s11424-015-3165-6","title":"Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process","display_name":"Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process","publication_year":2015,"publication_date":"2015-06-06","ids":{"openalex":"https://openalex.org/W2345857373","doi":"https://doi.org/10.1007/s11424-015-3165-6","mag":"2345857373"},"language":"en","primary_location":{"id":"doi:10.1007/s11424-015-3165-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11424-015-3165-6","pdf_url":null,"source":{"id":"https://openalex.org/S45848134","display_name":"Journal of Systems Science and Complexity","issn_l":"1009-6124","issn":["1009-6124","1559-7067"],"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 Systems Science and Complexity","raw_type":"journal-article"},"type":"book-chapter","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/A5103185775","display_name":"Zhaoli Jia","orcid":"https://orcid.org/0000-0001-7408-6765"},"institutions":[{"id":"https://openalex.org/I126520041","display_name":"University of Science and Technology of China","ror":"https://ror.org/04c4dkn09","country_code":"CN","type":"education","lineage":["https://openalex.org/I126520041","https://openalex.org/I19820366"]},{"id":"https://openalex.org/I16365422","display_name":"Hefei University of Technology","ror":"https://ror.org/02czkny70","country_code":"CN","type":"education","lineage":["https://openalex.org/I16365422"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zhaoli Jia","raw_affiliation_strings":["Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China","School of Mathematics, Hefei University of Technology, Hefei, 230009, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China","institution_ids":["https://openalex.org/I126520041"]},{"raw_affiliation_string":"School of Mathematics, Hefei University of Technology, Hefei, 230009, China","institution_ids":["https://openalex.org/I16365422"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078370308","display_name":"Xiuchun Bi","orcid":"https://orcid.org/0000-0002-2703-4660"},"institutions":[{"id":"https://openalex.org/I126520041","display_name":"University of Science and Technology of China","ror":"https://ror.org/04c4dkn09","country_code":"CN","type":"education","lineage":["https://openalex.org/I126520041","https://openalex.org/I19820366"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiuchun Bi","raw_affiliation_strings":["Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China","institution_ids":["https://openalex.org/I126520041"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5061928018","display_name":"Shuguang Zhang","orcid":"https://orcid.org/0000-0002-3856-3752"},"institutions":[{"id":"https://openalex.org/I126520041","display_name":"University of Science and Technology of China","ror":"https://ror.org/04c4dkn09","country_code":"CN","type":"education","lineage":["https://openalex.org/I126520041","https://openalex.org/I19820366"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Shuguang Zhang","raw_affiliation_strings":["Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China","institution_ids":["https://openalex.org/I126520041"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5103185775"],"corresponding_institution_ids":["https://openalex.org/I126520041","https://openalex.org/I16365422"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.7189,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.86082374,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"28","issue":"6","first_page":"1412","last_page":"1425"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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":0.9962999820709229,"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":0.9832000136375427,"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/variance-swap","display_name":"Variance swap","score":0.8896682262420654},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.8631678223609924},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6015544533729553},{"id":"https://openalex.org/keywords/volatility-swap","display_name":"Volatility swap","score":0.5881136059761047},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5523276925086975},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.543828010559082},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5382944941520691},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.521584689617157},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4385806620121002},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.42651987075805664},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.39342644810676575},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3711780309677124},{"id":"https://openalex.org/keywords/accounting","display_name":"Accounting","score":0.08859521150588989}],"concepts":[{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.8896682262420654},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.8631678223609924},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6015544533729553},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5881136059761047},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5523276925086975},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.543828010559082},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5382944941520691},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.521584689617157},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4385806620121002},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.42651987075805664},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39342644810676575},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3711780309677124},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.08859521150588989}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s11424-015-3165-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11424-015-3165-6","pdf_url":null,"source":{"id":"https://openalex.org/S45848134","display_name":"Journal of Systems Science and Complexity","issn_l":"1009-6124","issn":["1009-6124","1559-7067"],"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 Systems Science and Complexity","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1983618156","https://openalex.org/W2009076726","https://openalex.org/W2064978316","https://openalex.org/W2071091278","https://openalex.org/W2077791698","https://openalex.org/W2093824721","https://openalex.org/W2094206697","https://openalex.org/W2098038575","https://openalex.org/W2109617541","https://openalex.org/W2109921539","https://openalex.org/W2148080284","https://openalex.org/W2151065060","https://openalex.org/W2168145847","https://openalex.org/W2742620466","https://openalex.org/W3121579099","https://openalex.org/W3123121933","https://openalex.org/W3123975422","https://openalex.org/W3124475197"],"related_works":["https://openalex.org/W3166518942","https://openalex.org/W4310989636","https://openalex.org/W3098695750","https://openalex.org/W2061128599","https://openalex.org/W3034040197","https://openalex.org/W1522807025","https://openalex.org/W2563808743","https://openalex.org/W2970588134","https://openalex.org/W2733804454","https://openalex.org/W3015812536"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-07-17T05:52:16.776730","created_date":"2025-10-10T00:00:00"}
