{"id":"https://openalex.org/W3009186177","doi":"https://doi.org/10.1109/icsai48974.2019.9010444","title":"Volatility Inversion and Empirical Analysis on Hang Seng Index Option","display_name":"Volatility Inversion and Empirical Analysis on Hang Seng Index Option","publication_year":2019,"publication_date":"2019-11-01","ids":{"openalex":"https://openalex.org/W3009186177","doi":"https://doi.org/10.1109/icsai48974.2019.9010444","mag":"3009186177"},"language":"en","primary_location":{"id":"doi:10.1109/icsai48974.2019.9010444","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icsai48974.2019.9010444","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 6th International Conference on Systems and Informatics (ICSAI)","raw_type":"proceedings-article"},"type":"conference-paper","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/A5100340418","display_name":"Xu Xu","orcid":"https://orcid.org/0000-0002-9169-1323"},"institutions":[{"id":"https://openalex.org/I3125743391","display_name":"China University of Geosciences (Beijing)","ror":"https://ror.org/04q6c7p66","country_code":"CN","type":"education","lineage":["https://openalex.org/I3125743391"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xu Xu","raw_affiliation_strings":["School of Science, China University of Geosciences, Beijing"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Science, China University of Geosciences, Beijing","institution_ids":["https://openalex.org/I3125743391"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101060955","display_name":"Zuoliang Xu","orcid":"https://orcid.org/0009-0001-8775-2760"},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zuoliang Xu","raw_affiliation_strings":["School of Mathematics, Renmin University of China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, Renmin University of China","institution_ids":["https://openalex.org/I78988378"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5074388216","display_name":"Jun Suo","orcid":null},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jun Suo","raw_affiliation_strings":["School of Mathematics, Renmin University of China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, Renmin University of China","institution_ids":["https://openalex.org/I78988378"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.42228212,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"7","issue":null,"first_page":"794","last_page":"798"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9865999817848206,"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":0.9865999817848206,"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":0.9768000245094299,"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"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9373000264167786,"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/hang","display_name":"Hang","score":0.7126002907752991},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.6549326181411743},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6312804818153381},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5390580892562866},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.4853705167770386},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4691143333911896},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.46614161133766174},{"id":"https://openalex.org/keywords/inverse","display_name":"Inverse","score":0.45577549934387207},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4243015646934509},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.31496942043304443},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2055250108242035}],"concepts":[{"id":"https://openalex.org/C2781323245","wikidata":"https://www.wikidata.org/wiki/Q1363761","display_name":"Hang","level":2,"score":0.7126002907752991},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.6549326181411743},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6312804818153381},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5390580892562866},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.4853705167770386},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4691143333911896},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.46614161133766174},{"id":"https://openalex.org/C207467116","wikidata":"https://www.wikidata.org/wiki/Q4385666","display_name":"Inverse","level":2,"score":0.45577549934387207},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4243015646934509},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31496942043304443},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2055250108242035},{"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/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","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:10.1109/icsai48974.2019.9010444","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icsai48974.2019.9010444","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 6th International Conference on Systems and Informatics (ICSAI)","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":18,"referenced_works":["https://openalex.org/W1980519218","https://openalex.org/W1982039177","https://openalex.org/W2007907687","https://openalex.org/W2019796175","https://openalex.org/W2046931757","https://openalex.org/W2077791698","https://openalex.org/W2090637028","https://openalex.org/W2108423494","https://openalex.org/W2137864425","https://openalex.org/W2345703512","https://openalex.org/W2401286758","https://openalex.org/W2912784131","https://openalex.org/W2928751487","https://openalex.org/W3125246470","https://openalex.org/W4245812377","https://openalex.org/W6645633418","https://openalex.org/W6652367949","https://openalex.org/W6712922992"],"related_works":["https://openalex.org/W2381263381","https://openalex.org/W2494711526","https://openalex.org/W3136485529","https://openalex.org/W3180933049","https://openalex.org/W3124537231","https://openalex.org/W3122176587","https://openalex.org/W1588152617","https://openalex.org/W2121246931","https://openalex.org/W4390671392","https://openalex.org/W3129005336"],"abstract_inverted_index":{"This":[0],"paper":[1],"solves":[2],"the":[3,13,33,42,52,59,62],"inverse":[4,34],"volatility":[5,35],"problem":[6],"by":[7],"minimizing":[8],"a":[9,37],"convex":[10],"functional":[11],"via":[12,45],"Neuberger":[14],"gradient":[15],"steepest":[16],"descent":[17],"algorithm.":[18,63],"We":[19],"make":[20],"empirical":[21],"analysis":[22],"with":[23],"market":[24,55],"data":[25,56],"of":[26,61],"Hang":[27],"Seng":[28],"Index":[29],"Options,":[30],"and":[31,57],"use":[32],"as":[36],"known":[38],"variable":[39],"to":[40,54],"estimate":[41],"option":[43],"price":[44],"Monte":[46],"Carlo":[47],"simulation.":[48],"Finally,":[49],"we":[50],"compare":[51],"results":[53],"verify":[58],"validity":[60]},"counts_by_year":[],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}