{"id":"https://openalex.org/W2791075088","doi":"https://doi.org/10.1080/00207160.2018.1446526","title":"An IMEX predictor\u2013corrector method for pricing options under regime-switching jump-diffusion models","display_name":"An IMEX predictor\u2013corrector method for pricing options under regime-switching jump-diffusion models","publication_year":2018,"publication_date":"2018-03-01","ids":{"openalex":"https://openalex.org/W2791075088","doi":"https://doi.org/10.1080/00207160.2018.1446526","mag":"2791075088"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2018.1446526","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2018.1446526","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer 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/A5016354256","display_name":"Kamran Kazmi","orcid":null},"institutions":[{"id":"https://openalex.org/I64185308","display_name":"University of Wisconsin\u2013Oshkosh","ror":"https://ror.org/05w22af52","country_code":"US","type":"education","lineage":["https://openalex.org/I64185308"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Kamran Kazmi","raw_affiliation_strings":["Department of Mathematics, University of Wisconsin Oshkosh, Oshkosh, WI, USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Wisconsin Oshkosh, Oshkosh, WI, USA","institution_ids":["https://openalex.org/I64185308"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5016354256"],"corresponding_institution_ids":["https://openalex.org/I64185308"],"apc_list":null,"apc_paid":null,"fwci":1.1962,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.80372332,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"96","issue":"6","first_page":"1137","last_page":"1157"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"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":0.9993000030517578,"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":0.9993000030517578,"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/T11416","display_name":"Numerical methods for differential equations","score":0.9909999966621399,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/tridiagonal-matrix","display_name":"Tridiagonal matrix","score":0.8880878686904907},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7165830135345459},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.6573545932769775},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.5901069641113281},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5479195713996887},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.5290136337280273},{"id":"https://openalex.org/keywords/linear-complementarity-problem","display_name":"Linear complementarity problem","score":0.5016899108886719},{"id":"https://openalex.org/keywords/complementarity","display_name":"Complementarity (molecular biology)","score":0.4996776580810547},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.4788755774497986},{"id":"https://openalex.org/keywords/stability","display_name":"Stability (learning theory)","score":0.47650542855262756},{"id":"https://openalex.org/keywords/operator","display_name":"Operator (biology)","score":0.4534856677055359},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.44684898853302},{"id":"https://openalex.org/keywords/complementarity-theory","display_name":"Complementarity theory","score":0.42562180757522583},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.22603803873062134},{"id":"https://openalex.org/keywords/eigenvalues-and-eigenvectors","display_name":"Eigenvalues and eigenvectors","score":0.2101406753063202},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.07176703214645386}],"concepts":[{"id":"https://openalex.org/C51647924","wikidata":"https://www.wikidata.org/wiki/Q1755277","display_name":"Tridiagonal matrix","level":3,"score":0.8880878686904907},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7165830135345459},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.6573545932769775},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.5901069641113281},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5479195713996887},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5290136337280273},{"id":"https://openalex.org/C34320192","wikidata":"https://www.wikidata.org/wiki/Q783105","display_name":"Linear complementarity problem","level":3,"score":0.5016899108886719},{"id":"https://openalex.org/C202269582","wikidata":"https://www.wikidata.org/wiki/Q2644277","display_name":"Complementarity (molecular biology)","level":2,"score":0.4996776580810547},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4788755774497986},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.47650542855262756},{"id":"https://openalex.org/C17020691","wikidata":"https://www.wikidata.org/wiki/Q139677","display_name":"Operator (biology)","level":5,"score":0.4534856677055359},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.44684898853302},{"id":"https://openalex.org/C85404239","wikidata":"https://www.wikidata.org/wiki/Q5156417","display_name":"Complementarity theory","level":3,"score":0.42562180757522583},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.22603803873062134},{"id":"https://openalex.org/C158693339","wikidata":"https://www.wikidata.org/wiki/Q190524","display_name":"Eigenvalues and eigenvectors","level":2,"score":0.2101406753063202},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.07176703214645386},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0},{"id":"https://openalex.org/C158448853","wikidata":"https://www.wikidata.org/wiki/Q425218","display_name":"Repressor","level":4,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C86339819","wikidata":"https://www.wikidata.org/wiki/Q407384","display_name":"Transcription factor","level":3,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","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/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","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/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2018.1446526","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2018.1446526","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Reduced inequalities","score":0.4399999976158142,"id":"https://metadata.un.org/sdg/10"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":51,"referenced_works":["https://openalex.org/W1488001421","https://openalex.org/W1965746347","https://openalex.org/W1975083310","https://openalex.org/W1979130814","https://openalex.org/W1980666017","https://openalex.org/W1980768678","https://openalex.org/W1980900546","https://openalex.org/W1981073545","https://openalex.org/W1994111439","https://openalex.org/W1994812612","https://openalex.org/W2000419761","https://openalex.org/W2003448741","https://openalex.org/W2007025441","https://openalex.org/W2017297397","https://openalex.org/W2044777272","https://openalex.org/W2049599235","https://openalex.org/W2051583875","https://openalex.org/W2053013102","https://openalex.org/W2053604117","https://openalex.org/W2054756613","https://openalex.org/W2058218244","https://openalex.org/W2064978316","https://openalex.org/W2074812030","https://openalex.org/W2076959590","https://openalex.org/W2080403118","https://openalex.org/W2084083490","https://openalex.org/W2084206021","https://openalex.org/W2087061940","https://openalex.org/W2094206697","https://openalex.org/W2108237853","https://openalex.org/W2115086321","https://openalex.org/W2118574463","https://openalex.org/W2138540172","https://openalex.org/W2142278738","https://openalex.org/W2142285866","https://openalex.org/W2144375544","https://openalex.org/W2148688139","https://openalex.org/W2151065060","https://openalex.org/W2154396587","https://openalex.org/W2156597096","https://openalex.org/W2159479369","https://openalex.org/W2160044956","https://openalex.org/W2228123221","https://openalex.org/W2394980799","https://openalex.org/W2484199605","https://openalex.org/W2768977014","https://openalex.org/W2790045928","https://openalex.org/W3122167020","https://openalex.org/W3123318836","https://openalex.org/W4213316159","https://openalex.org/W4230643538"],"related_works":["https://openalex.org/W2052366866","https://openalex.org/W4220847489","https://openalex.org/W2276648117","https://openalex.org/W1972915776","https://openalex.org/W2084792246","https://openalex.org/W819098253","https://openalex.org/W2765841216","https://openalex.org/W1548220668","https://openalex.org/W2055849751","https://openalex.org/W169948756"],"abstract_inverted_index":{"An":[0],"efficient":[1],"second-order":[2,81],"method":[3,29,54,61],"for":[4,18],"pricing":[5],"European":[6],"and":[7,16,20,38,80],"American":[8,70],"options":[9],"under":[10],"regime-switching":[11],"jump-diffusion":[12],"models":[13],"is":[14,55],"presented":[15],"analysed":[17],"stability":[19,79],"convergence.":[21],"The":[22,51],"implicit\u2013explicit":[23],"(IMEX)":[24],"nature":[25],"of":[26,68,83],"the":[27,31,58,64,69,78,84],"proposed":[28],"avoids":[30],"need":[32],"to":[33,40,62,76],"invert":[34],"a":[35],"full":[36],"matrix":[37],"leads":[39],"tridiagonal":[41],"systems":[42],"that":[43],"can":[44],"be":[45],"efficiently":[46],"solved":[47],"by":[48],"direct":[49],"methods.":[50],"IMEX":[52],"predictor\u2013corrector":[53],"coupled":[56],"with":[57],"operator":[59],"splitting":[60],"solve":[63],"linear":[65],"complementarity":[66],"problem":[67],"options.":[71],"Numerical":[72],"experiments":[73],"are":[74],"performed":[75],"demonstrate":[77],"convergence":[82],"method.":[85]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":9},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}