{"id":"https://openalex.org/W4407383054","doi":"https://doi.org/10.1080/00207160.2025.2462079","title":"An efficient weak Galerkin finite element method for generalized Black\u2013Scholes PDEs modelling option pricing","display_name":"An efficient weak Galerkin finite element method for generalized Black\u2013Scholes PDEs modelling option pricing","publication_year":2025,"publication_date":"2025-02-10","ids":{"openalex":"https://openalex.org/W4407383054","doi":"https://doi.org/10.1080/00207160.2025.2462079"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2025.2462079","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2025.2462079","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":["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/A5110680512","display_name":"Sachin Kumar","orcid":"https://orcid.org/0000-0003-2526-9439"},"institutions":[{"id":"https://openalex.org/I1317621060","display_name":"Indian Institute of Technology Guwahati","ror":"https://ror.org/0022nd079","country_code":"IN","type":"education","lineage":["https://openalex.org/I1317621060"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Sachin Kumar","raw_affiliation_strings":["Indian Institute of Technology Guwahati"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Indian Institute of Technology Guwahati","institution_ids":["https://openalex.org/I1317621060"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5047608967","display_name":"Srinivasan Natesan","orcid":"https://orcid.org/0000-0001-7527-1989"},"institutions":[{"id":"https://openalex.org/I1317621060","display_name":"Indian Institute of Technology Guwahati","ror":"https://ror.org/0022nd079","country_code":"IN","type":"education","lineage":["https://openalex.org/I1317621060"]}],"countries":["IN"],"is_corresponding":true,"raw_author_name":"Srinivasan Natesan","raw_affiliation_strings":["Indian Institute of Technology Guwahati"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Indian Institute of Technology Guwahati","institution_ids":["https://openalex.org/I1317621060"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5047608967"],"corresponding_institution_ids":["https://openalex.org/I1317621060"],"apc_list":null,"apc_paid":null,"fwci":1.7706,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.79331967,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":93,"max":96},"biblio":{"volume":"102","issue":"5","first_page":"761","last_page":"778"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10339","display_name":"Advanced Numerical Methods in Computational Mathematics","score":0.9902999997138977,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10339","display_name":"Advanced Numerical Methods in Computational Mathematics","score":0.9902999997138977,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9873999953269958,"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/T10360","display_name":"Fluid Dynamics and Turbulent Flows","score":0.9836000204086304,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.7877142429351807},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.770605742931366},{"id":"https://openalex.org/keywords/finite-element-method","display_name":"Finite element method","score":0.6844397187232971},{"id":"https://openalex.org/keywords/galerkin-method","display_name":"Galerkin method","score":0.6677998304367065},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6631572246551514},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.6622821688652039},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6069654226303101},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.46430352330207825},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.37759312987327576},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3274223208427429},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.15696954727172852},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.06362453103065491}],"concepts":[{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.7877142429351807},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.770605742931366},{"id":"https://openalex.org/C135628077","wikidata":"https://www.wikidata.org/wiki/Q220184","display_name":"Finite element method","level":2,"score":0.6844397187232971},{"id":"https://openalex.org/C186899397","wikidata":"https://www.wikidata.org/wiki/Q1491980","display_name":"Galerkin method","level":3,"score":0.6677998304367065},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6631572246551514},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.6622821688652039},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6069654226303101},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.46430352330207825},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37759312987327576},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3274223208427429},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.15696954727172852},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.06362453103065491},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2025.2462079","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2025.2462079","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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W109754632","https://openalex.org/W1604311391","https://openalex.org/W2001110155","https://openalex.org/W2004017120","https://openalex.org/W2017533067","https://openalex.org/W2039955529","https://openalex.org/W2050650133","https://openalex.org/W2057949621","https://openalex.org/W2077791698","https://openalex.org/W2082621526","https://openalex.org/W2115423556","https://openalex.org/W2347801646","https://openalex.org/W2770641614","https://openalex.org/W2805001116","https://openalex.org/W2978727577","https://openalex.org/W4233665781","https://openalex.org/W4235931046"],"related_works":["https://openalex.org/W3183442954","https://openalex.org/W2752025792","https://openalex.org/W2968586561","https://openalex.org/W2062418210","https://openalex.org/W4311889558","https://openalex.org/W3123921940","https://openalex.org/W3106115764","https://openalex.org/W3161176953","https://openalex.org/W4398218509","https://openalex.org/W2088436879"],"abstract_inverted_index":{"In":[0,62],"this":[1,63],"work,":[2],"we":[3,65,76],"give":[4],"a":[5,9,33,82],"thorough":[6],"analysis":[7],"of":[8,25,42,92],"weak":[10,49],"Galerkin":[11,50],"finite":[12,96],"element":[13,97],"technique":[14],"(WG-FEM)":[15],"designed":[16],"specifically":[17],"for":[18,38,52,59],"the":[19,40,48,56,87,93,116],"generalized":[20],"Black-Scholes":[21],"equation-based":[22],"numerical":[23,102],"calculation":[24],"option":[26,43],"price":[27],"valuation.":[28],"This":[29],"novel":[30],"method":[31,51],"offers":[32],"strong":[34],"and":[35,70,75,89,120,125],"adaptable":[36],"framework":[37],"handling":[39],"complexity":[41],"pricing":[44],"models":[45],"by":[46,81],"combining":[47],"spatial":[53],"discretization":[54],"with":[55],"backward-Euler":[57],"scheme":[58],"time":[60],"discretization.":[61],"study,":[64,85],"aim":[66],"to":[67,104,114],"establish":[68],"stability":[69,88],"optimal":[71],"order":[72],"error":[73,79],"estimates":[74,80],"obtain":[77],"these":[78],"rigorous":[83],"theoretical":[84,107],"proving":[86],"convergence":[90],"characteristics":[91],"proposed":[94],"WG":[95],"scheme.":[98],"We":[99],"perform":[100],"extensive":[101],"experiments":[103],"validate":[105],"our":[106],"results.":[108],"These":[109],"examples":[110],"are":[111],"carefully":[112],"chosen":[113],"demonstrate":[115],"WG-FEM":[117],"practical":[118],"efficacy":[119],"dependability":[121],"in":[122],"various":[123],"scenarios":[124],"parameter":[126],"settings.":[127]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2}],"updated_date":"2026-09-01T08:31:24.195828","created_date":"2025-10-10T00:00:00"}