{"id":"https://openalex.org/W2470005471","doi":"https://doi.org/10.1080/03610918.2015.1040497","title":"Efficient Monte Carlo option pricing under CEV model","display_name":"Efficient Monte Carlo option pricing under CEV model","publication_year":2015,"publication_date":"2015-11-21","ids":{"openalex":"https://openalex.org/W2470005471","doi":"https://doi.org/10.1080/03610918.2015.1040497","mag":"2470005471"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2015.1040497","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2015.1040497","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"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":"Communications in Statistics - Simulation and Computation","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/A5010672134","display_name":"Farshid Mehrdoust","orcid":"https://orcid.org/0000-0002-0774-151X"},"institutions":[{"id":"https://openalex.org/I877176835","display_name":"University of Guilan","ror":"https://ror.org/01bdr6121","country_code":"IR","type":"education","lineage":["https://openalex.org/I877176835"]}],"countries":["IR"],"is_corresponding":true,"raw_author_name":"F. Mehrdoust","raw_affiliation_strings":["Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran","institution_ids":["https://openalex.org/I877176835"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5034188769","display_name":"Saman Babaei","orcid":null},"institutions":[{"id":"https://openalex.org/I877176835","display_name":"University of Guilan","ror":"https://ror.org/01bdr6121","country_code":"IR","type":"education","lineage":["https://openalex.org/I877176835"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"S. Babaei","raw_affiliation_strings":["Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran","institution_ids":["https://openalex.org/I877176835"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5023029776","display_name":"Somayeh Fallah","orcid":"https://orcid.org/0000-0003-1658-0567"},"institutions":[{"id":"https://openalex.org/I877176835","display_name":"University of Guilan","ror":"https://ror.org/01bdr6121","country_code":"IR","type":"education","lineage":["https://openalex.org/I877176835"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"S. Fallah","raw_affiliation_strings":["Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran","institution_ids":["https://openalex.org/I877176835"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5010672134"],"corresponding_institution_ids":["https://openalex.org/I877176835"],"apc_list":null,"apc_paid":null,"fwci":1.4628,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.86165577,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"46","issue":"3","first_page":"2254","last_page":"2266"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"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":0.9994000196456909,"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":0.988099992275238,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9818999767303467,"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/monte-carlo-methods-for-option-pricing","display_name":"Monte Carlo methods for option pricing","score":0.7127149105072021},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6358563899993896},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.6347104907035828},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.6270145177841187},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6082166433334351},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.5064140558242798},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.462754487991333},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.41970208287239075},{"id":"https://openalex.org/keywords/trinomial-tree","display_name":"Trinomial tree","score":0.4152531027793884},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.4140547811985016},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.40809017419815063},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3947722911834717},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.393582820892334},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.35649263858795166},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.345228374004364},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.3359309732913971},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.2616989016532898},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.15505510568618774},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08959010243415833}],"concepts":[{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.7127149105072021},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6358563899993896},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.6347104907035828},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.6270145177841187},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6082166433334351},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.5064140558242798},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.462754487991333},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.41970208287239075},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.4152531027793884},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.4140547811985016},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40809017419815063},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3947722911834717},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.393582820892334},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.35649263858795166},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.345228374004364},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.3359309732913971},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.2616989016532898},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.15505510568618774},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08959010243415833},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2015.1040497","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2015.1040497","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"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":"Communications in Statistics - Simulation and Computation","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":22,"referenced_works":["https://openalex.org/W159458924","https://openalex.org/W1254831770","https://openalex.org/W1966119267","https://openalex.org/W1970710195","https://openalex.org/W1976226654","https://openalex.org/W1982039177","https://openalex.org/W1998159671","https://openalex.org/W2004829202","https://openalex.org/W2022508150","https://openalex.org/W2061724927","https://openalex.org/W2077791698","https://openalex.org/W2107136434","https://openalex.org/W2109542379","https://openalex.org/W2114600177","https://openalex.org/W2122272911","https://openalex.org/W2132948666","https://openalex.org/W2138684546","https://openalex.org/W2169398107","https://openalex.org/W2797175432","https://openalex.org/W4230202741","https://openalex.org/W4252519795","https://openalex.org/W4383905198"],"related_works":["https://openalex.org/W2909024759","https://openalex.org/W2405857829","https://openalex.org/W3201761445","https://openalex.org/W2902898608","https://openalex.org/W2102692631","https://openalex.org/W1572306738","https://openalex.org/W2367757735","https://openalex.org/W4386788122","https://openalex.org/W1486505088","https://openalex.org/W2110020915"],"abstract_inverted_index":{"One":[0],"of":[1,12,30,47,109,113],"the":[2,9,27,39,42,48,103,107,114,124,128,134,146,151],"financial":[3],"model":[4,17,22,29,91,136],"with":[5],"nonconstant":[6],"volatiltiy":[7],"is":[8,23,44,92],"constant":[10],"elasticity":[11],"varinace":[13],"model,":[14,41],"or":[15],"CEV":[16,21,70,152],"for":[18,64,84,140],"short.":[19],"The":[20,94],"an":[24,60,73,78],"altrnative":[25],"to":[26],"Black\u2013Scholes":[28,40,90,135],"stock":[31,49,147],"price":[32,50,148],"movements.":[33],"In":[34,55,72,118],"this":[35,56,119],"diffusion":[36],"process,":[37],"unlike":[38],"volatility":[43],"a":[45],"function":[46],"and":[51,106],"involves":[52],"two":[53],"parameters.":[54],"article,":[57,120],"we":[58,121],"propose":[59],"efficient":[61,79],"Monte-Carlo":[62],"algorithm":[63,83,96,126,159],"pricing":[65,85,112,141],"arithmetic":[66,86,115,142],"Asian":[67,87,116,143],"option":[68],"under":[69,89,127],"model.":[71,153],"earlier":[74],"work":[75],"by":[76],"Mehrdoust,":[77],"Monte":[80],"Carlo":[81],"simulation":[82,110],"options":[88,144],"proposed.":[93],"proposed":[95,125],"has":[97],"proved":[98],"extremely":[99],"successful":[100],"in":[101,111,133],"decreasing":[102],"standard":[104],"deviation":[105],"error":[108],"options.":[117],"find":[122],"that":[123,157],"geometric":[129],"Brownian":[130],"motion":[131],"assumption":[132],"can":[137],"effectively":[138],"apply":[139],"when":[145],"process":[149],"follows":[150],"Numerical":[154],"experiments":[155],"show":[156],"our":[158],"gives":[160],"very":[161],"accurate":[162],"results.":[163]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}