{"id":"https://openalex.org/W3168733124","doi":"https://doi.org/10.1109/cybconf47073.2019.9436608","title":"The simulation of CSI 300 Index Option Pricing Based on Black-Scholes Model","display_name":"The simulation of CSI 300 Index Option Pricing Based on Black-Scholes Model","publication_year":2019,"publication_date":"2019-07-05","ids":{"openalex":"https://openalex.org/W3168733124","doi":"https://doi.org/10.1109/cybconf47073.2019.9436608","mag":"3168733124"},"language":"en","primary_location":{"id":"doi:10.1109/cybconf47073.2019.9436608","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cybconf47073.2019.9436608","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 4th IEEE International Conference on Cybernetics (Cybconf)","raw_type":"proceedings-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/A5100440225","display_name":"Lei Li","orcid":"https://orcid.org/0000-0001-5304-8380"},"institutions":[{"id":"https://openalex.org/I114218197","display_name":"Chinese Academy of Social Sciences","ror":"https://ror.org/05bxbmy32","country_code":"CN","type":"facility","lineage":["https://openalex.org/I114218197"]},{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Lei Li","raw_affiliation_strings":["The School of Economics and Management, University of Chinese Academy of Science,Beijing,China","The School of Economics and Management, University of Chinese Academy of Science, Beijing, China"],"affiliations":[{"raw_affiliation_string":"The School of Economics and Management, University of Chinese Academy of Science,Beijing,China","institution_ids":["https://openalex.org/I4210165038","https://openalex.org/I114218197"]},{"raw_affiliation_string":"The School of Economics and Management, University of Chinese Academy of Science, Beijing, China","institution_ids":["https://openalex.org/I4210165038"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100440225"],"corresponding_institution_ids":["https://openalex.org/I114218197","https://openalex.org/I4210165038"],"apc_list":null,"apc_paid":null,"fwci":0.2784,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.6733352,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"4","issue":null,"first_page":"1","last_page":"5"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9677000045776367,"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":0.9677000045776367,"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":0.9277999997138977,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.9257000088691711,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.7586337327957153},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.716677188873291},{"id":"https://openalex.org/keywords/monte-carlo-methods-for-option-pricing","display_name":"Monte Carlo methods for option pricing","score":0.5753384828567505},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5746726393699646},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5035302042961121},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.48554274439811707},{"id":"https://openalex.org/keywords/rational-pricing","display_name":"Rational pricing","score":0.43181419372558594},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.42891982197761536},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4170319437980652},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.374102920293808},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.2789268493652344}],"concepts":[{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.7586337327957153},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.716677188873291},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.5753384828567505},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5746726393699646},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5035302042961121},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.48554274439811707},{"id":"https://openalex.org/C159998540","wikidata":"https://www.wikidata.org/wiki/Q7295776","display_name":"Rational pricing","level":3,"score":0.43181419372558594},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42891982197761536},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4170319437980652},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.374102920293808},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.2789268493652344},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"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/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cybconf47073.2019.9436608","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cybconf47073.2019.9436608","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 4th IEEE International Conference on Cybernetics (Cybconf)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W100567175","https://openalex.org/W1503295912","https://openalex.org/W1974418079","https://openalex.org/W1982039177","https://openalex.org/W2024056468","https://openalex.org/W2036679573","https://openalex.org/W2077791698","https://openalex.org/W2109181216","https://openalex.org/W2146612430","https://openalex.org/W2170857480","https://openalex.org/W2342218074","https://openalex.org/W4231057775"],"related_works":["https://openalex.org/W2943124786","https://openalex.org/W2668740567","https://openalex.org/W2266550865","https://openalex.org/W84701208","https://openalex.org/W4398218509","https://openalex.org/W3183442954","https://openalex.org/W1571052328","https://openalex.org/W3172188645","https://openalex.org/W2483316594","https://openalex.org/W4387382206"],"abstract_inverted_index":{"The":[0],"paper":[1],"goes":[2],"on":[3,14],"a":[4,30],"simulation":[5,59],"pricing":[6,18,22],"study":[7],"for":[8],"Chinese":[9],"CSI":[10,32],"300":[11,33,83],"Index":[12,34,84],"based":[13],"the":[15,27,50,58,71],"Black-Scholes":[16],"option":[17,54,67],"model,":[19],"according":[20],"to":[21],"model":[23],"we":[24],"get":[25],"that":[26,62],"price":[28,39,51,68,73],"of":[29,52,75,89],"three-month":[31],"call":[35],"option,":[36],"whose":[37],"strike":[38],"is":[40,42,55],"4006.44,":[41],"approximately":[43],"33.46":[44],"at":[45],"November":[46],"30,":[47],"2017,":[48],"and":[49,81],"put":[53],"zero.":[56],"And":[57],"results":[60],"show":[61],"given":[63],"historical":[64],"data,":[65],"an":[66],"could":[69],"reflect":[70],"future":[72],"trend":[74],"underlying":[76],"asset":[77],"in":[78],"some":[79],"degree,":[80],"CIS":[82],"have":[85],"quite":[86],"large":[87],"probability":[88],"going":[90],"up.":[91]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
