{"id":"https://openalex.org/W4403583917","doi":"https://doi.org/10.1080/03610918.2024.2413907","title":"European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate","display_name":"European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate","publication_year":2024,"publication_date":"2024-10-20","ids":{"openalex":"https://openalex.org/W4403583917","doi":"https://doi.org/10.1080/03610918.2024.2413907"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2024.2413907","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2024.2413907","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/A5030405869","display_name":"Jingjun Guo","orcid":null},"institutions":[{"id":"https://openalex.org/I4210098931","display_name":"Quantitative BioSciences","ror":"https://ror.org/010brsj79","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I4210098931"]},{"id":"https://openalex.org/I4210152533","display_name":"Lanzhou University of Finance and Economics","ror":"https://ror.org/04v7yv031","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210152533"]}],"countries":["CN","US"],"is_corresponding":false,"raw_author_name":"Jingjun Guo","raw_affiliation_strings":["Center for Quantitative Analysis of Gansu Economic Development Lanzhou","School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou","School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou, Gansu, P. R. China","Center for Quantitative Analysis of Gansu Economic Development Lanzhou, Gansu, P. R. China"],"affiliations":[{"raw_affiliation_string":"Center for Quantitative Analysis of Gansu Economic Development Lanzhou","institution_ids":["https://openalex.org/I4210098931"]},{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou","institution_ids":["https://openalex.org/I4210152533"]},{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou, Gansu, P. R. China","institution_ids":["https://openalex.org/I4210152533"]},{"raw_affiliation_string":"Center for Quantitative Analysis of Gansu Economic Development Lanzhou, Gansu, P. R. China","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5061753832","display_name":"Yubing Wang","orcid":"https://orcid.org/0009-0008-1207-947X"},"institutions":[{"id":"https://openalex.org/I4210152533","display_name":"Lanzhou University of Finance and Economics","ror":"https://ror.org/04v7yv031","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210152533"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yubing Wang","raw_affiliation_strings":["School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou","School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou, Gansu, P. R. China"],"affiliations":[{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou","institution_ids":["https://openalex.org/I4210152533"]},{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou, Gansu, P. R. China","institution_ids":["https://openalex.org/I4210152533"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086800724","display_name":"Weiyi Kang","orcid":"https://orcid.org/0009-0006-2132-0689"},"institutions":[{"id":"https://openalex.org/I4210152533","display_name":"Lanzhou University of Finance and Economics","ror":"https://ror.org/04v7yv031","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210152533"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Weiyi Kang","raw_affiliation_strings":["School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou","School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou, Gansu, P. R. China"],"affiliations":[{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou","institution_ids":["https://openalex.org/I4210152533"]},{"raw_affiliation_string":"School of Statistics and Data Science, Lanzhou University of Finance and Economics Lanzhou, Gansu, P. R. China","institution_ids":["https://openalex.org/I4210152533"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5061753832"],"corresponding_institution_ids":["https://openalex.org/I4210152533"],"apc_list":null,"apc_paid":null,"fwci":0.5392,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.70596842,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"55","issue":"3","first_page":"676","last_page":"710"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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":0.9717000126838684,"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":0.965399980545044,"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/jump-diffusion","display_name":"Jump diffusion","score":0.7692214846611023},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.6254963874816895},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.5981796979904175},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.5593222379684448},{"id":"https://openalex.org/keywords/rendleman\u2013bartter-model","display_name":"Rendleman\u2013Bartter model","score":0.4639406204223633},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4403446912765503},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.4398180842399597},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3876568377017975},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3476526141166687},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3381798267364502},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.13756480813026428},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.1256653368473053},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.08696404099464417}],"concepts":[{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7692214846611023},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.6254963874816895},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.5981796979904175},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.5593222379684448},{"id":"https://openalex.org/C108018779","wikidata":"https://www.wikidata.org/wiki/Q7312852","display_name":"Rendleman\u2013Bartter model","level":3,"score":0.4639406204223633},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4403446912765503},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.4398180842399597},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3876568377017975},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3476526141166687},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3381798267364502},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.13756480813026428},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.1256653368473053},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.08696404099464417},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2024.2413907","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2024.2413907","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":[{"id":"https://openalex.org/G153377556","display_name":null,"funder_award_id":"72361016","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":59,"referenced_works":["https://openalex.org/W1499969990","https://openalex.org/W1548992164","https://openalex.org/W1974998144","https://openalex.org/W1986746640","https://openalex.org/W1988715571","https://openalex.org/W2003567553","https://openalex.org/W2010806909","https://openalex.org/W2025272915","https://openalex.org/W2041452637","https://openalex.org/W2052099730","https://openalex.org/W2059516393","https://openalex.org/W2076057077","https://openalex.org/W2077791698","https://openalex.org/W2105973145","https://openalex.org/W2107711400","https://openalex.org/W2123422002","https://openalex.org/W2151065060","https://openalex.org/W2152838163","https://openalex.org/W2179633876","https://openalex.org/W2180071254","https://openalex.org/W2565687861","https://openalex.org/W2610855998","https://openalex.org/W2771318113","https://openalex.org/W2789487702","https://openalex.org/W2902686665","https://openalex.org/W2920123991","https://openalex.org/W2944832235","https://openalex.org/W2962997245","https://openalex.org/W2981927952","https://openalex.org/W2981942015","https://openalex.org/W2998965431","https://openalex.org/W3007907844","https://openalex.org/W3013196584","https://openalex.org/W3021444882","https://openalex.org/W3030279607","https://openalex.org/W3085654351","https://openalex.org/W3116279741","https://openalex.org/W3122167020","https://openalex.org/W3122260931","https://openalex.org/W3129602449","https://openalex.org/W3133272113","https://openalex.org/W3149397915","https://openalex.org/W3151697996","https://openalex.org/W3157618130","https://openalex.org/W3158334605","https://openalex.org/W3162888589","https://openalex.org/W3169992716","https://openalex.org/W3207836271","https://openalex.org/W4205311371","https://openalex.org/W4225152497","https://openalex.org/W4226105490","https://openalex.org/W4226185236","https://openalex.org/W4281391749","https://openalex.org/W4283031063","https://openalex.org/W4288828572","https://openalex.org/W4381856197","https://openalex.org/W4383702692","https://openalex.org/W4386430762","https://openalex.org/W4390393255"],"related_works":["https://openalex.org/W2648988829","https://openalex.org/W2507439616","https://openalex.org/W2352779812","https://openalex.org/W3124741583","https://openalex.org/W362430865","https://openalex.org/W2954755983","https://openalex.org/W2362743624","https://openalex.org/W3121278253","https://openalex.org/W3124337678","https://openalex.org/W2390566486"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-03-27T05:58:40.876381","created_date":"2025-10-10T00:00:00"}