{"id":"https://openalex.org/W4400098334","doi":"https://doi.org/10.1080/00207160.2024.2363467","title":"On pricing of discrete Asian and Lookback options under the Heston model","display_name":"On pricing of discrete Asian and Lookback options under the Heston model","publication_year":2024,"publication_date":"2024-06-26","ids":{"openalex":"https://openalex.org/W4400098334","doi":"https://doi.org/10.1080/00207160.2024.2363467"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2024.2363467","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2024.2363467","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/A5089531833","display_name":"Leonardo Perotti","orcid":"https://orcid.org/0000-0002-3268-3753"},"institutions":[{"id":"https://openalex.org/I193662353","display_name":"Utrecht University","ror":"https://ror.org/04pp8hn57","country_code":"NL","type":"education","lineage":["https://openalex.org/I193662353"]}],"countries":["NL"],"is_corresponding":true,"raw_author_name":"Leonardo Perotti","raw_affiliation_strings":["Mathematical Institute, Utrecht University, Utrecht, the Netherlands"],"affiliations":[{"raw_affiliation_string":"Mathematical Institute, Utrecht University, Utrecht, the Netherlands","institution_ids":["https://openalex.org/I193662353"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046181858","display_name":"Lech A. Grzelak","orcid":"https://orcid.org/0000-0003-2329-5254"},"institutions":[{"id":"https://openalex.org/I193662353","display_name":"Utrecht University","ror":"https://ror.org/04pp8hn57","country_code":"NL","type":"education","lineage":["https://openalex.org/I193662353"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Lech A. Grzelak","raw_affiliation_strings":["Financial Engineering, Rabobank, Utrecht, the Netherlands","Mathematical Institute, Utrecht University, Utrecht, the Netherlands"],"affiliations":[{"raw_affiliation_string":"Financial Engineering, Rabobank, Utrecht, the Netherlands","institution_ids":[]},{"raw_affiliation_string":"Mathematical Institute, Utrecht University, Utrecht, the Netherlands","institution_ids":["https://openalex.org/I193662353"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5089531833"],"corresponding_institution_ids":["https://openalex.org/I193662353"],"apc_list":null,"apc_paid":null,"fwci":1.1997,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.79330096,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":96},"biblio":{"volume":"101","issue":"8","first_page":"889","last_page":"918"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9828000068664551,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9625999927520752,"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/heston-model","display_name":"Heston model","score":0.7928310036659241},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.47070714831352234},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.45112907886505127},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4346391558647156},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.41358447074890137},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.3874807357788086},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.37834224104881287},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3293222188949585},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.24931815266609192},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.08084708452224731}],"concepts":[{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.7928310036659241},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.47070714831352234},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.45112907886505127},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4346391558647156},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.41358447074890137},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.3874807357788086},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.37834224104881287},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3293222188949585},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.24931815266609192},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.08084708452224731},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2024.2363467","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2024.2363467","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":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W1600624394","https://openalex.org/W1841486359","https://openalex.org/W1976607776","https://openalex.org/W1977463378","https://openalex.org/W2061724927","https://openalex.org/W2064978316","https://openalex.org/W2085068845","https://openalex.org/W2100577529","https://openalex.org/W2106198262","https://openalex.org/W2121511461","https://openalex.org/W2148917772","https://openalex.org/W2405205481","https://openalex.org/W2462503569","https://openalex.org/W2465624924","https://openalex.org/W2528305538","https://openalex.org/W2884523412","https://openalex.org/W2885076443","https://openalex.org/W2966123764","https://openalex.org/W3011591294","https://openalex.org/W3033155756","https://openalex.org/W3080914972","https://openalex.org/W3123185727","https://openalex.org/W3123528665","https://openalex.org/W3124087541","https://openalex.org/W3125660228","https://openalex.org/W3151301589","https://openalex.org/W3154362755","https://openalex.org/W3216383008","https://openalex.org/W4255199812","https://openalex.org/W6676891930"],"related_works":["https://openalex.org/W3126272183","https://openalex.org/W4295294818","https://openalex.org/W2470695085","https://openalex.org/W3126064821","https://openalex.org/W1852351394","https://openalex.org/W3034965081","https://openalex.org/W2909024759","https://openalex.org/W3201761445","https://openalex.org/W3114762377","https://openalex.org/W2562435088"],"abstract_inverted_index":{"We":[0],"propose":[1],"a":[2,149,165,176],"new,":[3],"data-driven":[4],"approach":[5],"for":[6,87,152,159],"efficient":[7,134],"pricing":[8,161,192],"of":[9,41,63,94,113,117,178,185],"\u2013":[10,14],"fixed-":[11],"and":[12,18,43,175],"floating-strike":[13],"discrete":[15],"arithmetic":[16],"Asian":[17],"Lookback":[19],"options":[20],"when":[21],"the":[22,28,61,75,111,114,179],"underlying":[23],"process":[24],"is":[25],"driven":[26],"by":[27],"Heston":[29],"model":[30,72,171],"dynamics.":[31],"The":[32,71,82,127,145,170],"method":[33,146],"proposed":[34],"in":[35,148,164],"this":[36],"article":[37],"constitutes":[38],"an":[39],"extension":[40],"Perotti":[42],"Grzelak":[44,124],"[Fast":[45],"sampling":[46,64,135],"from":[47,65,136],"time-integrated":[48,66],"bridges":[49,68],"using":[50],"deep":[51],"learning,":[52],"J.":[53],"Comput.":[54],"Math.":[55],"Data":[56],"Sci.":[57],"5":[58],"(2022)],":[59],"where":[60,103],"problem":[62],"stochastic":[67,95,120,128],"was":[69],"addressed.":[70],"relies":[73],"on":[74],"Seven-League":[76],"scheme":[77],"[S.":[78],"Liu":[79],"et":[80,125],"al.":[81,126],"seven-league":[83],"scheme:":[84],"Deep":[85],"learning":[86],"large":[88],"time":[89,181],"step":[90],"Monte":[91,130,153,190],"Carlo":[92,131,154,191],"simulations":[93],"differential":[96],"equations,":[97],"Risks":[98],"10":[99],"(2022),":[100],"p.":[101],"47],":[102],"artificial":[104],"neural":[105],"networks":[106],"are":[107,162],"employed":[108],"to":[109,183,188],"'learn'":[110],"distribution":[112],"random":[115],"variable":[116],"interest":[118],"utilizing":[119],"collocation":[121,129],"points":[122],"[L.A.":[123],"sampler:":[132],"Highly":[133],"expensive":[137],"distributions,":[138],"Quant.":[139],"Finance":[140],"19":[141],"(2019),":[142],"pp.":[143],"339\u2013356].":[144],"results":[147],"robust":[150],"procedure":[151],"pricing.":[155],"Furthermore,":[156],"semi-analytic":[157],"formulae":[158],"option":[160],"provided":[163],"simplified,":[166],"yet":[167],"general,":[168],"framework.":[169],"guarantees":[172],"high":[173],"accuracy":[174],"reduction":[177],"computational":[180],"up":[182],"thousands":[184],"times":[186],"compared":[187],"classical":[189],"schemes.":[193]},"counts_by_year":[{"year":2025,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}