{"id":"https://openalex.org/W7162779634","doi":"https://doi.org/10.1016/j.matcom.2026.05.026","title":"Efficient estimation for the Greeks of Asian options under mixed fractional Brownian motion","display_name":"Efficient estimation for the Greeks of Asian options under mixed fractional Brownian motion","publication_year":2026,"publication_date":"2026-05-29","ids":{"openalex":"https://openalex.org/W7162779634","doi":"https://doi.org/10.1016/j.matcom.2026.05.026"},"language":"en","primary_location":{"id":"doi:10.1016/j.matcom.2026.05.026","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.matcom.2026.05.026","pdf_url":null,"source":{"id":"https://openalex.org/S32114090","display_name":"Mathematics and Computers in Simulation","issn_l":"0378-4754","issn":["0378-4754","1872-7166"],"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":"Mathematics and Computers in Simulation","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/A5077641340","display_name":"Dandan Zhao","orcid":"https://orcid.org/0000-0002-0757-984X"},"institutions":[{"id":"https://openalex.org/I4210152533","display_name":"Lanzhou University of Finance and Economics","ror":"https://ror.org/04v7yv031","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210152533"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Dandan Zhao","raw_affiliation_strings":["School of Statistics and Data Science, Lanzhou University of Finance and Economics, Lanzhou 730020, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics, Lanzhou 730020, China","institution_ids":["https://openalex.org/I4210152533"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5083167231","display_name":"Mingyao Ai","orcid":"https://orcid.org/0000-0002-0421-0051"},"institutions":[{"id":"https://openalex.org/I20231570","display_name":"Peking University","ror":"https://ror.org/02v51f717","country_code":"CN","type":"education","lineage":["https://openalex.org/I20231570"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Mingyao Ai","raw_affiliation_strings":["LMAM, School of Mathematical Sciences and Center for Statistical Science, Peking University, Beijing 100871, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LMAM, School of Mathematical Sciences and Center for Statistical Science, Peking University, Beijing 100871, China","institution_ids":["https://openalex.org/I20231570"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5137394959","display_name":"Jingjun Guo","orcid":null},"institutions":[{"id":"https://openalex.org/I4210152533","display_name":"Lanzhou University of Finance and Economics","ror":"https://ror.org/04v7yv031","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210152533"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jingjun Guo","raw_affiliation_strings":["Center for Quantitative Analysis of Gansu Economic Development, Lanzhou University of Finance and Economics, Lanzhou 730020, China","School of Statistics and Data Science, Lanzhou University of Finance and Economics, Lanzhou 730020, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Quantitative Analysis of Gansu Economic Development, Lanzhou University of Finance and Economics, Lanzhou 730020, China","institution_ids":["https://openalex.org/I4210152533"]},{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics, Lanzhou 730020, China","institution_ids":["https://openalex.org/I4210152533"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5137394959"],"corresponding_institution_ids":["https://openalex.org/I4210152533"],"apc_list":{"value":1450,"currency":"USD","value_usd":1450},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.64130355,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"249","issue":null,"first_page":"392","last_page":"410"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8604000210762024,"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":0.8604000210762024,"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":0.028300000354647636,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.02239999920129776,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/greeks","display_name":"Greeks","score":0.6370000243186951},{"id":"https://openalex.org/keywords/fractional-brownian-motion","display_name":"Fractional Brownian motion","score":0.6248999834060669},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.5223000049591064},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.49549999833106995},{"id":"https://openalex.org/keywords/motion","display_name":"Motion (physics)","score":0.4494999945163727},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.3416999876499176}],"concepts":[{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.6370000243186951},{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.6248999834060669},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5985000133514404},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5860000252723694},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5223000049591064},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.49549999833106995},{"id":"https://openalex.org/C104114177","wikidata":"https://www.wikidata.org/wiki/Q79782","display_name":"Motion (physics)","level":2,"score":0.4494999945163727},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37529999017715454},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.3416999876499176},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.33809998631477356},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.329800009727478},{"id":"https://openalex.org/C167928553","wikidata":"https://www.wikidata.org/wiki/Q1376021","display_name":"Estimation theory","level":2,"score":0.3206999897956848},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.28200000524520874},{"id":"https://openalex.org/C116779161","wikidata":"https://www.wikidata.org/wiki/Q7307228","display_name":"Reflected Brownian motion","level":5,"score":0.2799000144004822},{"id":"https://openalex.org/C3018263672","wikidata":"https://www.wikidata.org/wiki/Q1296251","display_name":"Efficient algorithm","level":2,"score":0.26669999957084656},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2662000060081482},{"id":"https://openalex.org/C39425265","wikidata":"https://www.wikidata.org/wiki/Q7098944","display_name":"Optimal estimation","level":2,"score":0.2603999972343445},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.25519999861717224}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.matcom.2026.05.026","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.matcom.2026.05.026","pdf_url":null,"source":{"id":"https://openalex.org/S32114090","display_name":"Mathematics and Computers in Simulation","issn_l":"0378-4754","issn":["0378-4754","1872-7166"],"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":"Mathematics and Computers in Simulation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W291811356","https://openalex.org/W1602773783","https://openalex.org/W1781111666","https://openalex.org/W1963887857","https://openalex.org/W1964916079","https://openalex.org/W1980372135","https://openalex.org/W1986010345","https://openalex.org/W1986746640","https://openalex.org/W1995666097","https://openalex.org/W2016193062","https://openalex.org/W2016564841","https://openalex.org/W2019777691","https://openalex.org/W2025505566","https://openalex.org/W2029259308","https://openalex.org/W2033200020","https://openalex.org/W2059469232","https://openalex.org/W2061724927","https://openalex.org/W2064599895","https://openalex.org/W2076674575","https://openalex.org/W2122272911","https://openalex.org/W2150281008","https://openalex.org/W2151832703","https://openalex.org/W2179633876","https://openalex.org/W2751662207","https://openalex.org/W2770082257","https://openalex.org/W2774549708","https://openalex.org/W2793233807","https://openalex.org/W2884523412","https://openalex.org/W2885141043","https://openalex.org/W2966724476","https://openalex.org/W3121370489","https://openalex.org/W3122990537","https://openalex.org/W3124875579","https://openalex.org/W3126049755","https://openalex.org/W3200351363","https://openalex.org/W3214371080","https://openalex.org/W4224252279","https://openalex.org/W4243465933","https://openalex.org/W4320169804","https://openalex.org/W4392520457","https://openalex.org/W4399235564","https://openalex.org/W4400316463","https://openalex.org/W4411212085"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2026-05-30T00:00:00"}
