{"id":"https://openalex.org/W4375867382","doi":"https://doi.org/10.1080/03610918.2023.2206597","title":"Formulas for pricing American VIX options under the generalized mixture volatility models","display_name":"Formulas for pricing American VIX options under the generalized mixture volatility models","publication_year":2023,"publication_date":"2023-05-07","ids":{"openalex":"https://openalex.org/W4375867382","doi":"https://doi.org/10.1080/03610918.2023.2206597"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2023.2206597","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2023.2206597","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/A5048062646","display_name":"Hsuan\u2010Ku Liu","orcid":"https://orcid.org/0000-0001-9117-5794"},"institutions":[{"id":"https://openalex.org/I49645291","display_name":"National Taipei University of Education","ror":"https://ror.org/02bzpph30","country_code":"TW","type":"education","lineage":["https://openalex.org/I49645291"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Hsuan-Ku Liu","raw_affiliation_strings":["Department of Mathematics and Information Education, National Taipei University of Education, Taipei, Taiwan"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Information Education, National Taipei University of Education, Taipei, Taiwan","institution_ids":["https://openalex.org/I49645291"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100773301","display_name":"Yu\u2013Kai Wang","orcid":"https://orcid.org/0000-0001-8390-2664"},"institutions":[{"id":"https://openalex.org/I22265921","display_name":"National Central University","ror":"https://ror.org/00944ve71","country_code":"TW","type":"education","lineage":["https://openalex.org/I22265921"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Yu-Kai Wang","raw_affiliation_strings":["Graduate Institute of Statistics, National Central University, Taoyuan, Taiwan"],"affiliations":[{"raw_affiliation_string":"Graduate Institute of Statistics, National Central University, Taoyuan, Taiwan","institution_ids":["https://openalex.org/I22265921"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110972915","display_name":"I-Chieh Huang","orcid":null},"institutions":[{"id":"https://openalex.org/I148366613","display_name":"National Yang Ming Chiao Tung University","ror":"https://ror.org/00se2k293","country_code":"TW","type":"education","lineage":["https://openalex.org/I148366613"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"I-Chieh Huang","raw_affiliation_strings":["Department of Applied Mathematics, National Yang Ming Chiao Tung University, Taipei, Taiwan"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, National Yang Ming Chiao Tung University, Taipei, Taiwan","institution_ids":["https://openalex.org/I148366613"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086109092","display_name":"Li\u2010Hsien Sun","orcid":"https://orcid.org/0000-0002-4085-5471"},"institutions":[{"id":"https://openalex.org/I22265921","display_name":"National Central University","ror":"https://ror.org/00944ve71","country_code":"TW","type":"education","lineage":["https://openalex.org/I22265921"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Li-Hsien Sun","raw_affiliation_strings":["Graduate Institute of Statistics, National Central University, Taoyuan, Taiwan"],"affiliations":[{"raw_affiliation_string":"Graduate Institute of Statistics, National Central University, Taoyuan, Taiwan","institution_ids":["https://openalex.org/I22265921"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5086109092"],"corresponding_institution_ids":["https://openalex.org/I22265921"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.09756763,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"53","issue":"12","first_page":"5952","last_page":"5972"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"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":0.9995999932289124,"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":0.9829000234603882,"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":0.9467999935150146,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.700579822063446},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5624039173126221},{"id":"https://openalex.org/keywords/continuation","display_name":"Continuation","score":0.556740403175354},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.4978148937225342},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.49556243419647217},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.4765475392341614},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4721042215824127},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.4443928599357605},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4249686598777771},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.42099452018737793},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.38398098945617676},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19840887188911438}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.700579822063446},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5624039173126221},{"id":"https://openalex.org/C88626702","wikidata":"https://www.wikidata.org/wiki/Q1128903","display_name":"Continuation","level":2,"score":0.556740403175354},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4978148937225342},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.49556243419647217},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.4765475392341614},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4721042215824127},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.4443928599357605},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4249686598777771},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.42099452018737793},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.38398098945617676},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19840887188911438},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2023.2206597","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2023.2206597","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/G1607861547","display_name":null,"funder_award_id":"MOST 108-2118-M-008-002-MY2","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"},{"id":"https://openalex.org/G8419423225","display_name":null,"funder_award_id":"MOST 110-2115-M-152-003-MY2","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"}],"funders":[{"id":"https://openalex.org/F4320322795","display_name":"Ministry of Science and Technology, Taiwan","ror":"https://ror.org/02kv4zf79"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W292358271","https://openalex.org/W1978657827","https://openalex.org/W1996272694","https://openalex.org/W2015674495","https://openalex.org/W2049234737","https://openalex.org/W2062341116","https://openalex.org/W2068456731","https://openalex.org/W2072716978","https://openalex.org/W2083952901","https://openalex.org/W2093240633","https://openalex.org/W2102252623","https://openalex.org/W2115524032","https://openalex.org/W2329986772","https://openalex.org/W2411806651","https://openalex.org/W2553769349","https://openalex.org/W2576267689","https://openalex.org/W2587352961","https://openalex.org/W2621497362","https://openalex.org/W2791516470","https://openalex.org/W2962885347","https://openalex.org/W3048340759","https://openalex.org/W3117942315","https://openalex.org/W3121674832","https://openalex.org/W3124181924","https://openalex.org/W3125324979","https://openalex.org/W3136914654","https://openalex.org/W4226058632","https://openalex.org/W4231057775","https://openalex.org/W4296285941","https://openalex.org/W4302567662"],"related_works":["https://openalex.org/W2561005359","https://openalex.org/W3046357205","https://openalex.org/W2146281355","https://openalex.org/W2109894179","https://openalex.org/W3126075830","https://openalex.org/W3122544694","https://openalex.org/W2623575599","https://openalex.org/W2982013799","https://openalex.org/W1491092204","https://openalex.org/W2987188948"],"abstract_inverted_index":{"This":[0],"study":[1],"considers":[2],"the":[3,10,14,26,34,39,45,59,66,73,76,80,84,93,98,101,108],"American":[4,28,61,103],"VIX":[5,29,62,104],"option":[6,64,106],"pricing":[7,23],"problem":[8],"under":[9],"models":[11],"of":[12,19,75],"mixing":[13,47],"3/2,":[15],"and":[16,44,83],"1/2":[17,36],"classes":[18],"volatility":[20,37,42,110],"processes.":[21,50],"The":[22],"formulas":[24,57],"for":[25,33,58,100],"perpetual":[27],"call":[30,63,105],"are":[31],"provided":[32],"generalized":[35,40],"model,":[38],"3/2":[41],"model":[43,46],"these":[48,52],"two":[49],"For":[51],"models,":[53],"we":[54,71,96],"derive":[55],"approximate":[56],"finite-lived":[60,102],"by":[65],"quadratic":[67],"approximation":[68],"approach.":[69],"Then,":[70],"illustrate":[72],"influence":[74],"varied":[77],"parameters":[78],"on":[79],"free":[81],"boundaries":[82],"corresponding":[85],"continuation":[86],"regions":[87],"through":[88],"numerical":[89],"analysis.":[90],"Finally,":[91],"in":[92],"real":[94],"application,":[95],"obtain":[97],"price":[99],"using":[107],"CBOE":[109],"index.":[111]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
