{"id":"https://openalex.org/W2945727487","doi":"https://doi.org/10.1007/s12190-019-01270-1","title":"A robust numerical method for pricing American options under Kou\u2019s jump-diffusion models based on penalty method","display_name":"A robust numerical method for pricing American options under Kou\u2019s jump-diffusion models based on penalty method","publication_year":2019,"publication_date":"2019-05-23","ids":{"openalex":"https://openalex.org/W2945727487","doi":"https://doi.org/10.1007/s12190-019-01270-1","mag":"2945727487"},"language":"en","primary_location":{"id":"doi:10.1007/s12190-019-01270-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s12190-019-01270-1","pdf_url":null,"source":{"id":"https://openalex.org/S199913245","display_name":"Journal of Applied Mathematics and Computing","issn_l":"1598-5865","issn":["1598-5865","1865-2085"],"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 Applied Mathematics and 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/A5039961508","display_name":"Xiao-Ting Gan","orcid":"https://orcid.org/0000-0002-1907-4398"},"institutions":[{"id":"https://openalex.org/I150229711","display_name":"University of Electronic Science and Technology of China","ror":"https://ror.org/04qr3zq92","country_code":"CN","type":"education","lineage":["https://openalex.org/I150229711"]},{"id":"https://openalex.org/I4210143356","display_name":"Chuxiong Normal University","ror":"https://ror.org/04c14yn55","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210143356"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Xiaoting Gan","raw_affiliation_strings":["School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, 611731, China","School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong, 675000, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, 611731, China","institution_ids":["https://openalex.org/I150229711"]},{"raw_affiliation_string":"School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong, 675000, China","institution_ids":["https://openalex.org/I4210143356"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101712179","display_name":"Ying Yang","orcid":"https://orcid.org/0000-0002-4040-1656"},"institutions":[{"id":"https://openalex.org/I5343935","display_name":"Guilin University of Electronic Technology","ror":"https://ror.org/05arjae42","country_code":"CN","type":"education","lineage":["https://openalex.org/I5343935"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ying Yang","raw_affiliation_strings":["School of Mathematics and Computational Science, Guangxi Colleges and Universities, Key Laboratory of Data Analysis and Computation, Guangxi Key Laboratory of Cryptography and information Security, Guilin University of Electronic Technology, Guilin, 541004, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Computational Science, Guangxi Colleges and Universities, Key Laboratory of Data Analysis and Computation, Guangxi Key Laboratory of Cryptography and information Security, Guilin University of Electronic Technology, Guilin, 541004, China","institution_ids":["https://openalex.org/I5343935"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5056283077","display_name":"Kun Zhang","orcid":"https://orcid.org/0000-0002-3513-8988"},"institutions":[{"id":"https://openalex.org/I4210143356","display_name":"Chuxiong Normal University","ror":"https://ror.org/04c14yn55","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210143356"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Kun Zhang","raw_affiliation_strings":["School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong, 675000, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong, 675000, China","institution_ids":["https://openalex.org/I4210143356"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5039961508"],"corresponding_institution_ids":["https://openalex.org/I150229711","https://openalex.org/I4210143356"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":1.7286,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.85298433,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"62","issue":"1-2","first_page":"1","last_page":"21"},"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/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9952999949455261,"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/T11829","display_name":"Mathematical Biology Tumor Growth","score":0.9383000135421753,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"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/discretization","display_name":"Discretization","score":0.7783360481262207},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7583610415458679},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.6059281826019287},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5580560564994812},{"id":"https://openalex.org/keywords/monotone-polygon","display_name":"Monotone polygon","score":0.5442438721656799},{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.5422450304031372},{"id":"https://openalex.org/keywords/penalty-method","display_name":"Penalty method","score":0.5397238731384277},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5369380116462708},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5315523147583008},{"id":"https://openalex.org/keywords/backward-euler-method","display_name":"Backward Euler method","score":0.5144948959350586},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.5002424716949463},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.4540981352329254},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.43103867769241333},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.4115694761276245},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.23752188682556152},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.17770466208457947},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.07377377152442932}],"concepts":[{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.7783360481262207},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7583610415458679},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.6059281826019287},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5580560564994812},{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.5442438721656799},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.5422450304031372},{"id":"https://openalex.org/C6180225","wikidata":"https://www.wikidata.org/wiki/Q3411771","display_name":"Penalty method","level":2,"score":0.5397238731384277},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5369380116462708},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5315523147583008},{"id":"https://openalex.org/C768646","wikidata":"https://www.wikidata.org/wiki/Q2736820","display_name":"Backward Euler method","level":3,"score":0.5144948959350586},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5002424716949463},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4540981352329254},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43103867769241333},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.4115694761276245},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.23752188682556152},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.17770466208457947},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.07377377152442932},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","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/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s12190-019-01270-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s12190-019-01270-1","pdf_url":null,"source":{"id":"https://openalex.org/S199913245","display_name":"Journal of Applied Mathematics and Computing","issn_l":"1598-5865","issn":["1598-5865","1865-2085"],"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 Applied Mathematics and Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4300000071525574,"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities"}],"awards":[{"id":"https://openalex.org/G1654208602","display_name":"\u63a5\u89e6\u529b\u5b66\u4e0e\u56fe\u50cf\u5904\u7406\u4e2d\u7684\u4e92\u8865\u95ee\u9898\u7684\u5feb\u901f\u7b97\u6cd5\u7814\u7a76","funder_award_id":"11661027","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4016290838","display_name":"\u79bb\u5b50\u901a\u9053\u7535\u6d41\u8ba1\u7b97\u7684PNP\u65b9\u7a0b\u7684\u6a21\u578b\u548c\u8ba1\u7b97\u4e0a\u6539\u8fdb\u7684\u4e00\u4e9b\u7814\u7a76","funder_award_id":"11561016","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W959748758","https://openalex.org/W1971954987","https://openalex.org/W1980666017","https://openalex.org/W1994111439","https://openalex.org/W2000419761","https://openalex.org/W2019935264","https://openalex.org/W2049599235","https://openalex.org/W2058218244","https://openalex.org/W2061802455","https://openalex.org/W2077791698","https://openalex.org/W2081787832","https://openalex.org/W2089898184","https://openalex.org/W2119303271","https://openalex.org/W2136287637","https://openalex.org/W2151065060","https://openalex.org/W2156690247","https://openalex.org/W2587419006","https://openalex.org/W2611871352","https://openalex.org/W2782881869","https://openalex.org/W2791075088","https://openalex.org/W2802842431","https://openalex.org/W2891441787","https://openalex.org/W2963987591","https://openalex.org/W3122167020","https://openalex.org/W3124053904","https://openalex.org/W3124062437","https://openalex.org/W3124397939"],"related_works":["https://openalex.org/W2018662469","https://openalex.org/W2062802260","https://openalex.org/W1977335770","https://openalex.org/W2175677697","https://openalex.org/W2963936214","https://openalex.org/W3180934676","https://openalex.org/W4301895170","https://openalex.org/W2766314973","https://openalex.org/W3134574304","https://openalex.org/W3048061938"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1}],"updated_date":"2026-06-06T09:05:17.133730","created_date":"2025-10-10T00:00:00"}
