{"id":"https://openalex.org/W7119007286","doi":"https://doi.org/10.1016/j.cam.2025.117332","title":"Pricing vulnerable extremum options in a Markov regime-switching Heston\u2019s model and stochastic interest rate","display_name":"Pricing vulnerable extremum options in a Markov regime-switching Heston\u2019s model and stochastic interest rate","publication_year":2026,"publication_date":"2026-01-07","ids":{"openalex":"https://openalex.org/W7119007286","doi":"https://doi.org/10.1016/j.cam.2025.117332"},"language":"en","primary_location":{"id":"doi:10.1016/j.cam.2025.117332","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2025.117332","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of 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/A5050474889","display_name":"Guohe Deng","orcid":"https://orcid.org/0000-0002-9344-5193"},"institutions":[{"id":"https://openalex.org/I29739308","display_name":"Guangxi Normal University","ror":"https://ror.org/02frt9q65","country_code":"CN","type":"education","lineage":["https://openalex.org/I29739308"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Guohe Deng","raw_affiliation_strings":["College of Mathematics and Statistics, Guangxi Normal University, Guilin, 541006, China"],"raw_orcid":"https://orcid.org/0000-0002-9344-5193","affiliations":[{"raw_affiliation_string":"College of Mathematics and Statistics, Guangxi Normal University, Guilin, 541006, China","institution_ids":["https://openalex.org/I29739308"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066789424","display_name":"Yurong Xie","orcid":null},"institutions":[{"id":"https://openalex.org/I29739308","display_name":"Guangxi Normal University","ror":"https://ror.org/02frt9q65","country_code":"CN","type":"education","lineage":["https://openalex.org/I29739308"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yurong Xie","raw_affiliation_strings":["College of Mathematics and Statistics, Guangxi Normal University, Guilin, 541006, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Mathematics and Statistics, Guangxi Normal University, Guilin, 541006, China","institution_ids":["https://openalex.org/I29739308"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5050474889"],"corresponding_institution_ids":["https://openalex.org/I29739308"],"apc_list":{"value":2870,"currency":"USD","value_usd":2870},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.03974047,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"482","issue":null,"first_page":"117332","last_page":"117332"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9587000012397766,"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":0.9587000012397766,"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/T11513","display_name":"stochastic dynamics and bifurcation","score":0.005499999970197678,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.00419999985024333,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.7063000202178955},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.6740999817848206},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.6118999719619751},{"id":"https://openalex.org/keywords/monte-carlo-methods-for-option-pricing","display_name":"Monte Carlo methods for option pricing","score":0.5458999872207642},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.491100013256073},{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.451200008392334},{"id":"https://openalex.org/keywords/rendleman\u2013bartter-model","display_name":"Rendleman\u2013Bartter model","score":0.4142000079154968},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.4113999903202057},{"id":"https://openalex.org/keywords/sensitivity","display_name":"Sensitivity (control systems)","score":0.4065000116825104},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.38839998841285706}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.7063000202178955},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6919999718666077},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.6740999817848206},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.6118999719619751},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.5458999872207642},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.491100013256073},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.45820000767707825},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.451200008392334},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4345000088214874},{"id":"https://openalex.org/C108018779","wikidata":"https://www.wikidata.org/wiki/Q7312852","display_name":"Rendleman\u2013Bartter model","level":3,"score":0.4142000079154968},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4113999903202057},{"id":"https://openalex.org/C21200559","wikidata":"https://www.wikidata.org/wiki/Q7451068","display_name":"Sensitivity (control systems)","level":2,"score":0.4065000116825104},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.38839998841285706},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.3783999979496002},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.3734999895095825},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.3711000084877014},{"id":"https://openalex.org/C20538924","wikidata":"https://www.wikidata.org/wiki/Q822139","display_name":"Characteristic function (probability theory)","level":3,"score":0.3686999976634979},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.3659999966621399},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36480000615119934},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.34279999136924744},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.32659998536109924},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.3246000111103058},{"id":"https://openalex.org/C93246554","wikidata":"https://www.wikidata.org/wiki/Q4162534","display_name":"Short-rate model","level":3,"score":0.3190000057220459},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.3158000111579895},{"id":"https://openalex.org/C30084815","wikidata":"https://www.wikidata.org/wiki/Q4390268","display_name":"Variance-gamma distribution","level":4,"score":0.31049999594688416},{"id":"https://openalex.org/C151205565","wikidata":"https://www.wikidata.org/wiki/Q4385634","display_name":"Cox\u2013Ingersoll\u2013Ross model","level":3,"score":0.3037000000476837},{"id":"https://openalex.org/C54775282","wikidata":"https://www.wikidata.org/wiki/Q7502071","display_name":"Short rate","level":4,"score":0.2888999879360199},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.2687000036239624},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.26739999651908875},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.257999986410141},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.25780001282691956},{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.2572999894618988}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.cam.2025.117332","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2025.117332","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational and Applied Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":62,"referenced_works":["https://openalex.org/W1480459000","https://openalex.org/W1537105505","https://openalex.org/W1552108148","https://openalex.org/W1893477298","https://openalex.org/W1965746347","https://openalex.org/W1968551138","https://openalex.org/W1979493817","https://openalex.org/W1986044066","https://openalex.org/W2002383375","https://openalex.org/W2011205000","https://openalex.org/W2025660709","https://openalex.org/W2030923857","https://openalex.org/W2044550654","https://openalex.org/W2054226113","https://openalex.org/W2059516393","https://openalex.org/W2064978316","https://openalex.org/W2071720645","https://openalex.org/W2074374447","https://openalex.org/W2077791698","https://openalex.org/W2082317778","https://openalex.org/W2105629398","https://openalex.org/W2107711400","https://openalex.org/W2138466119","https://openalex.org/W2152342393","https://openalex.org/W2163829900","https://openalex.org/W2278012108","https://openalex.org/W2295745097","https://openalex.org/W2513457959","https://openalex.org/W2513567073","https://openalex.org/W2513704540","https://openalex.org/W2527224502","https://openalex.org/W2565687861","https://openalex.org/W2589631719","https://openalex.org/W2609032503","https://openalex.org/W2610352289","https://openalex.org/W2726720132","https://openalex.org/W2752712227","https://openalex.org/W2757390894","https://openalex.org/W2758762943","https://openalex.org/W2765235371","https://openalex.org/W2800252081","https://openalex.org/W2801191345","https://openalex.org/W2912676679","https://openalex.org/W2945559595","https://openalex.org/W2981942015","https://openalex.org/W2999276516","https://openalex.org/W3015414157","https://openalex.org/W3035482455","https://openalex.org/W3045537689","https://openalex.org/W3048011011","https://openalex.org/W3093604655","https://openalex.org/W3121488749","https://openalex.org/W3123321876","https://openalex.org/W3123595000","https://openalex.org/W3125871005","https://openalex.org/W3136875487","https://openalex.org/W3139098427","https://openalex.org/W3143045873","https://openalex.org/W3186873495","https://openalex.org/W4205311371","https://openalex.org/W4213019416","https://openalex.org/W4226105490"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2026-01-08T00:00:00"}
