{"id":"https://openalex.org/W4212845678","doi":"https://doi.org/10.1007/s40314-022-01764-y","title":"Semi-implicit FEM for the valuation of American options under the Heston model","display_name":"Semi-implicit FEM for the valuation of American options under the Heston model","publication_year":2022,"publication_date":"2022-02-15","ids":{"openalex":"https://openalex.org/W4212845678","doi":"https://doi.org/10.1007/s40314-022-01764-y"},"language":"en","primary_location":{"id":"doi:10.1007/s40314-022-01764-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s40314-022-01764-y","pdf_url":null,"source":{"id":"https://openalex.org/S4210195884","display_name":"Computational and Applied Mathematics","issn_l":"1807-0302","issn":["1807-0302","2238-3603"],"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 and Applied Mathematics","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/A5100360250","display_name":"Qi Zhang","orcid":"https://orcid.org/0000-0002-0312-7045"},"institutions":[{"id":"https://openalex.org/I194450716","display_name":"Jilin University","ror":"https://ror.org/00js3aw79","country_code":"CN","type":"education","lineage":["https://openalex.org/I194450716"]},{"id":"https://openalex.org/I157507598","display_name":"Shenyang University of Technology","ror":"https://ror.org/00d7f8730","country_code":"CN","type":"education","lineage":["https://openalex.org/I157507598"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Qi Zhang","raw_affiliation_strings":["Key Laboratory of Symbolic Computation and Knowledge Engineering of Ministry of Education, Jilin University, Changchun, 130012, China","School of Science, Shenyang University of Technology, Shenyang, 110807, China"],"affiliations":[{"raw_affiliation_string":"Key Laboratory of Symbolic Computation and Knowledge Engineering of Ministry of Education, Jilin University, Changchun, 130012, China","institution_ids":["https://openalex.org/I194450716"]},{"raw_affiliation_string":"School of Science, Shenyang University of Technology, Shenyang, 110807, China","institution_ids":["https://openalex.org/I157507598"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5083973016","display_name":"Haiming Song","orcid":"https://orcid.org/0000-0001-7163-8894"},"institutions":[{"id":"https://openalex.org/I194450716","display_name":"Jilin University","ror":"https://ror.org/00js3aw79","country_code":"CN","type":"education","lineage":["https://openalex.org/I194450716"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Haiming Song","raw_affiliation_strings":["School of Mathematics, Jilin University, Changchun, 130012, China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics, Jilin University, Changchun, 130012, China","institution_ids":["https://openalex.org/I194450716"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5031305584","display_name":"Yongle Hao","orcid":"https://orcid.org/0000-0001-8146-9975"},"institutions":[{"id":"https://openalex.org/I4210093674","display_name":"Zhoukou Normal University","ror":"https://ror.org/00jjkh886","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210093674"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yongle Hao","raw_affiliation_strings":["School of Mathematics and Statistics, Zhoukou Normal University, Zhoukou, 466001, China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Zhoukou Normal University, Zhoukou, 466001, China","institution_ids":["https://openalex.org/I4210093674"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5031305584","https://openalex.org/A5083973016","https://openalex.org/A5100360250"],"corresponding_institution_ids":["https://openalex.org/I157507598","https://openalex.org/I194450716","https://openalex.org/I4210093674"],"apc_list":null,"apc_paid":null,"fwci":3.8229,"has_fulltext":false,"cited_by_count":12,"citation_normalized_percentile":{"value":0.93639053,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"41","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9979000091552734,"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"}},"topics":[{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9979000091552734,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9975000023841858,"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/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9904000163078308,"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/valuation","display_name":"Valuation (finance)","score":0.6432660222053528},{"id":"https://openalex.org/keywords/finite-element-method","display_name":"Finite element method","score":0.6080721020698547},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6036179065704346},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6027228832244873},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5999457240104675},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.5358890891075134},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.5183826088905334},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.4987759590148926},{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.48062580823898315},{"id":"https://openalex.org/keywords/matrix","display_name":"Matrix (chemical analysis)","score":0.4347188472747803},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3659232258796692},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.250755250453949},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.08591333031654358},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.06856173276901245}],"concepts":[{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.6432660222053528},{"id":"https://openalex.org/C135628077","wikidata":"https://www.wikidata.org/wiki/Q220184","display_name":"Finite element method","level":2,"score":0.6080721020698547},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6036179065704346},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6027228832244873},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5999457240104675},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.5358890891075134},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5183826088905334},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.4987759590148926},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.48062580823898315},{"id":"https://openalex.org/C106487976","wikidata":"https://www.wikidata.org/wiki/Q685816","display_name":"Matrix (chemical analysis)","level":2,"score":0.4347188472747803},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3659232258796692},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.250755250453949},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.08591333031654358},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.06856173276901245},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0},{"id":"https://openalex.org/C159985019","wikidata":"https://www.wikidata.org/wiki/Q181790","display_name":"Composite material","level":1,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","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},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"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/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s40314-022-01764-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s40314-022-01764-y","pdf_url":null,"source":{"id":"https://openalex.org/S4210195884","display_name":"Computational and Applied Mathematics","issn_l":"1807-0302","issn":["1807-0302","2238-3603"],"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 and Applied Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3752999429","display_name":null,"funder_award_id":"JJKH20211031KJ","funder_id":"https://openalex.org/F4320326270","funder_display_name":"Education Department of Jilin Province"},{"id":"https://openalex.org/G3774933666","display_name":null,"funder_award_id":"11701210","funder_id":"https://openalex.org/F4320315254","funder_display_name":"Innovative Research Group Project of the National Natural Science Foundation of China"},{"id":"https://openalex.org/G3827549955","display_name":null,"funder_award_id":"20200201269JC","funder_id":"https://openalex.org/F4320310121","funder_display_name":"Natural Science Foundation of Jilin Province"},{"id":"https://openalex.org/G4394581714","display_name":null,"funder_award_id":"11901606","funder_id":"https://openalex.org/F4320315254","funder_display_name":"Innovative Research Group Project of the National Natural Science Foundation of China"},{"id":"https://openalex.org/G6134417084","display_name":null,"funder_award_id":"20190103029JH","funder_id":"https://openalex.org/F4320310121","funder_display_name":"Natural Science Foundation of Jilin Province"}],"funders":[{"id":"https://openalex.org/F4320310121","display_name":"Natural Science Foundation of Jilin Province","ror":null},{"id":"https://openalex.org/F4320315254","display_name":"Innovative Research Group Project of the National Natural Science Foundation of China","ror":null},{"id":"https://openalex.org/F4320326270","display_name":"Education Department of Jilin Province","ror":"https://ror.org/05782e512"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1514815886","https://openalex.org/W1970360591","https://openalex.org/W1982918151","https://openalex.org/W2003028655","https://openalex.org/W2003360807","https://openalex.org/W2005158847","https://openalex.org/W2011073159","https://openalex.org/W2032887086","https://openalex.org/W2035276996","https://openalex.org/W2043375786","https://openalex.org/W2044074916","https://openalex.org/W2045718021","https://openalex.org/W2051583875","https://openalex.org/W2057576018","https://openalex.org/W2064978316","https://openalex.org/W2077407187","https://openalex.org/W2077791698","https://openalex.org/W2090571492","https://openalex.org/W2094206697","https://openalex.org/W2146612430","https://openalex.org/W2148080284","https://openalex.org/W2152454709","https://openalex.org/W2163282685","https://openalex.org/W2752025792","https://openalex.org/W2755462318","https://openalex.org/W2764000701","https://openalex.org/W2905233627","https://openalex.org/W2970186602","https://openalex.org/W2978027618","https://openalex.org/W3122867727","https://openalex.org/W3138676919","https://openalex.org/W4231057775","https://openalex.org/W4298310972"],"related_works":["https://openalex.org/W3126272183","https://openalex.org/W3126064821","https://openalex.org/W1852351394","https://openalex.org/W4295294818","https://openalex.org/W3114762377","https://openalex.org/W2526907534","https://openalex.org/W2063524840","https://openalex.org/W2884008983","https://openalex.org/W2127492155","https://openalex.org/W3172974878"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
