{"id":"https://openalex.org/W2943625984","doi":"https://doi.org/10.1080/00207160.2019.1614174","title":"Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models","display_name":"Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models","publication_year":2019,"publication_date":"2019-05-03","ids":{"openalex":"https://openalex.org/W2943625984","doi":"https://doi.org/10.1080/00207160.2019.1614174","mag":"2943625984"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2019.1614174","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2019.1614174","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","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"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":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2006.13181","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Josef Dan\u011bk","orcid":"https://orcid.org/0000-0002-9744-5107"},"institutions":[{"id":"https://openalex.org/I92715842","display_name":"University of West Bohemia in Pilsen","ror":"https://ror.org/040t43x18","country_code":"CZ","type":"education","lineage":["https://openalex.org/I92715842"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Josef Dan\u011bk","raw_affiliation_strings":["NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Plze\u0148, Czech Republic"],"raw_orcid":"https://orcid.org/0000-0002-9744-5107","affiliations":[{"raw_affiliation_string":"NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Plze\u0148, Czech Republic","institution_ids":["https://openalex.org/I92715842"]}]},{"author_position":"last","author":{"id":null,"display_name":"Jan Posp\u00ed\u0161il","orcid":"https://orcid.org/0000-0002-4288-1614"},"institutions":[{"id":"https://openalex.org/I92715842","display_name":"University of West Bohemia in Pilsen","ror":"https://ror.org/040t43x18","country_code":"CZ","type":"education","lineage":["https://openalex.org/I92715842"]}],"countries":["CZ"],"is_corresponding":true,"raw_author_name":"Jan Posp\u00ed\u0161il","raw_affiliation_strings":["NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Plze\u0148, Czech Republic"],"raw_orcid":"https://orcid.org/0000-0002-4288-1614","affiliations":[{"raw_affiliation_string":"NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Plze\u0148, Czech Republic","institution_ids":["https://openalex.org/I92715842"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I92715842"],"apc_list":null,"apc_paid":null,"fwci":1.2627,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.80782174,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"97","issue":"6","first_page":"1268","last_page":"1292"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8489999771118164,"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":0.8489999771118164,"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/T12404","display_name":"Mathematical Approximation and Integration","score":0.03480000048875809,"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/T11513","display_name":"stochastic dynamics and bifurcation","score":0.017999999225139618,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6122000217437744},{"id":"https://openalex.org/keywords/numerical-integration","display_name":"Numerical integration","score":0.593999981880188},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5845999717712402},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.5591999888420105},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.5475999712944031},{"id":"https://openalex.org/keywords/quadrature","display_name":"Quadrature (astronomy)","score":0.49239999055862427},{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.48080000281333923},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4794999957084656},{"id":"https://openalex.org/keywords/jump-process","display_name":"Jump process","score":0.4431000053882599}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6122000217437744},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6028000116348267},{"id":"https://openalex.org/C127349201","wikidata":"https://www.wikidata.org/wiki/Q753445","display_name":"Numerical integration","level":2,"score":0.593999981880188},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5845999717712402},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5591999888420105},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.5475999712944031},{"id":"https://openalex.org/C62869609","wikidata":"https://www.wikidata.org/wiki/Q28137","display_name":"Quadrature (astronomy)","level":2,"score":0.49239999055862427},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.48080000281333923},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4794999957084656},{"id":"https://openalex.org/C2776825372","wikidata":"https://www.wikidata.org/wiki/Q3922411","display_name":"Jump process","level":3,"score":0.4431000053882599},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4350000023841858},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4016999900341034},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.38659998774528503},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.3522999882698059},{"id":"https://openalex.org/C167196314","wikidata":"https://www.wikidata.org/wiki/Q767680","display_name":"Gaussian quadrature","level":4,"score":0.3361000120639801},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.3172000050544739},{"id":"https://openalex.org/C2778311368","wikidata":"https://www.wikidata.org/wiki/Q1939618","display_name":"Put option","level":2,"score":0.3116999864578247},{"id":"https://openalex.org/C2986878899","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical approximation","level":3,"score":0.2906000018119812},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.28859999775886536},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.28450000286102295},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.2824999988079071},{"id":"https://openalex.org/C54865166","wikidata":"https://www.wikidata.org/wiki/Q844937","display_name":"Multiple integral","level":2,"score":0.28040000796318054},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.26840001344680786},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.2637999951839447},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.26269999146461487},{"id":"https://openalex.org/C2776607717","wikidata":"https://www.wikidata.org/wiki/Q1929310","display_name":"Strike price","level":3,"score":0.26269999146461487},{"id":"https://openalex.org/C2780451532","wikidata":"https://www.wikidata.org/wiki/Q759676","display_name":"Task (project management)","level":2,"score":0.25920000672340393}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00207160.2019.1614174","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2019.1614174","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","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"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"},{"id":"pmh:oai:arXiv.org:2006.13181","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2006.13181","pdf_url":"https://arxiv.org/pdf/2006.13181","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2006.13181","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2006.13181","pdf_url":"https://arxiv.org/pdf/2006.13181","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G6378366093","display_name":null,"funder_award_id":"GA14-11559S,GA18-16680S","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"}],"funders":[{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W1480459000","https://openalex.org/W1584707396","https://openalex.org/W1823856401","https://openalex.org/W1957823995","https://openalex.org/W1968851382","https://openalex.org/W1970494124","https://openalex.org/W1995932911","https://openalex.org/W2031817855","https://openalex.org/W2045548935","https://openalex.org/W2052784918","https://openalex.org/W2064978316","https://openalex.org/W2078498319","https://openalex.org/W2121848241","https://openalex.org/W2137946669","https://openalex.org/W2165477099","https://openalex.org/W2167698785","https://openalex.org/W2292937026","https://openalex.org/W2340031305","https://openalex.org/W2461827244","https://openalex.org/W2580567270","https://openalex.org/W2604116365","https://openalex.org/W2626766990","https://openalex.org/W3124282701","https://openalex.org/W3124475197","https://openalex.org/W3125325797","https://openalex.org/W4242954585"],"related_works":[],"abstract_inverted_index":{"In":[0,80],"mathematical":[1],"finance,":[2],"a":[3,18,74,101,122],"process":[4],"of":[5,21,33,36,77],"calibrating":[6],"stochastic":[7],"volatility":[8],"(SV)":[9],"option":[10],"pricing":[11],"models":[12,139],"to":[13,57,112,127],"real":[14],"market":[15],"data":[16],"involves":[17],"numerical":[19,53,134],"calculation":[20],"integrals":[22],"that":[23,90,106],"depend":[24],"on":[25],"several":[26],"model":[27,50],"parameters.":[28],"This":[29],"optimization":[30],"task":[31],"consists":[32],"large":[34],"number":[35],"integral":[37],"evaluations":[38],"with":[39],"high":[40],"precision":[41,71,124],"and":[42,73,88,132,140],"low":[43],"computational":[44,78],"time":[45],"requirements.":[46,60],"However,":[47],"for":[48,136,145],"some":[49],"parameters,":[51],"many":[52],"quadrature":[54],"algorithms":[55],"fail":[56],"meet":[58],"these":[59,86],"We":[61,99,130],"can":[62],"observe":[63],"an":[64],"enormous":[65],"increase":[66,76],"in":[67,116],"function":[68],"evaluations,":[69],"serious":[70],"problems":[72,87],"significant":[75],"time.":[79],"this":[81],"paper,":[82],"we":[83],"numerically":[84],"analyse":[85],"show":[89],"they":[91],"are":[92],"especially":[93,144],"caused":[94],"by":[95],"inaccurately":[96],"evaluated":[97],"integrands.":[98],"propose":[100],"fast":[102],"regime":[103],"switching":[104],"algorithm":[105],"tells":[107],"if":[108,121],"it":[109],"is":[110],"sufficient":[111],"evaluate":[113],"the":[114],"integrand":[115],"standard":[117],"double":[118],"arithmetic":[119,125],"or":[120],"higher":[123],"has":[126],"be":[128],"used.":[129],"compare":[131],"recommend":[133],"quadratures":[135],"typical":[137],"SV":[138],"different":[141],"parameter":[142],"values,":[143],"problematic":[146],"cases.":[147]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2017,"cited_by_count":1}],"updated_date":"2026-08-15T07:11:24.734988","created_date":"2019-05-09T00:00:00"}