{"id":"https://openalex.org/W4247762396","doi":"https://doi.org/10.1109/wsc.2007.4419695","title":"Efficient estimation of option price and price sensitivities via Structured Database Monte Carlo (SDMC)","display_name":"Efficient estimation of option price and price sensitivities via Structured Database Monte Carlo (SDMC)","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W4247762396","doi":"https://doi.org/10.1109/wsc.2007.4419695"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2007.4419695","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2007.4419695","pdf_url":null,"source":{"id":"https://openalex.org/S4363608517","display_name":"2007 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 Winter Simulation Conference","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/A5081603978","display_name":"Gang Zhao","orcid":"https://orcid.org/0000-0002-3966-8943"},"institutions":[{"id":"https://openalex.org/I111088046","display_name":"Boston University","ror":"https://ror.org/05qwgg493","country_code":"US","type":"education","lineage":["https://openalex.org/I111088046"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Gang Zhao","raw_affiliation_strings":["Manufacturing Engineering Department, Boston University, Brookline, MA, USA"],"affiliations":[{"raw_affiliation_string":"Manufacturing Engineering Department, Boston University, Brookline, MA, USA","institution_ids":["https://openalex.org/I111088046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5011274322","display_name":"Tarik Borogovac","orcid":null},"institutions":[{"id":"https://openalex.org/I111088046","display_name":"Boston University","ror":"https://ror.org/05qwgg493","country_code":"US","type":"education","lineage":["https://openalex.org/I111088046"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tarik Borogovac","raw_affiliation_strings":["Electrical & Computer Engineering Department, Boston University, Boston, MA, USA"],"affiliations":[{"raw_affiliation_string":"Electrical & Computer Engineering Department, Boston University, Boston, MA, USA","institution_ids":["https://openalex.org/I111088046"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5002097523","display_name":"Pirooz Vakili","orcid":null},"institutions":[{"id":"https://openalex.org/I111088046","display_name":"Boston University","ror":"https://ror.org/05qwgg493","country_code":"US","type":"education","lineage":["https://openalex.org/I111088046"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Pirooz Vakili","raw_affiliation_strings":["Manufacturing Engineering Department, Boston University, Brookline, MA, USA"],"affiliations":[{"raw_affiliation_string":"Manufacturing Engineering Department, Boston University, Brookline, MA, USA","institution_ids":["https://openalex.org/I111088046"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5081603978"],"corresponding_institution_ids":["https://openalex.org/I111088046"],"apc_list":null,"apc_paid":null,"fwci":4.0860215,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.94623656,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"984","last_page":"991"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.984499990940094,"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":0.984499990940094,"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/T11181","display_name":"Advanced Data Storage Technologies","score":0.975600004196167,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9559999704360962,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/control-variates","display_name":"Control variates","score":0.9214575290679932},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7297022342681885},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6936042904853821},{"id":"https://openalex.org/keywords/variance-reduction","display_name":"Variance reduction","score":0.6651246547698975},{"id":"https://openalex.org/keywords/random-variate","display_name":"Random variate","score":0.4885181188583374},{"id":"https://openalex.org/keywords/greeks","display_name":"Greeks","score":0.4786335527896881},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.46929746866226196},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.43511539697647095},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3834415376186371},{"id":"https://openalex.org/keywords/database","display_name":"Database","score":0.3437789976596832},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.32194697856903076},{"id":"https://openalex.org/keywords/hybrid-monte-carlo","display_name":"Hybrid Monte Carlo","score":0.26011279225349426},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2541016936302185},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.19326913356781006},{"id":"https://openalex.org/keywords/random-variable","display_name":"Random variable","score":0.15681615471839905},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.14842915534973145},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1474558711051941},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.130126953125},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.07422670722007751}],"concepts":[{"id":"https://openalex.org/C121683094","wikidata":"https://www.wikidata.org/wiki/Q3554721","display_name":"Control variates","level":5,"score":0.9214575290679932},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7297022342681885},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6936042904853821},{"id":"https://openalex.org/C62644790","wikidata":"https://www.wikidata.org/wiki/Q3454689","display_name":"Variance reduction","level":3,"score":0.6651246547698975},{"id":"https://openalex.org/C141547133","wikidata":"https://www.wikidata.org/wiki/Q7291996","display_name":"Random variate","level":3,"score":0.4885181188583374},{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.4786335527896881},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.46929746866226196},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43511539697647095},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3834415376186371},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.3437789976596832},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.32194697856903076},{"id":"https://openalex.org/C13153151","wikidata":"https://www.wikidata.org/wiki/Q1639846","display_name":"Hybrid Monte Carlo","level":4,"score":0.26011279225349426},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2541016936302185},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.19326913356781006},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.15681615471839905},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.14842915534973145},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1474558711051941},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.130126953125},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.07422670722007751},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2007.4419695","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2007.4419695","pdf_url":null,"source":{"id":"https://openalex.org/S4363608517","display_name":"2007 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 Winter Simulation Conference","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9","score":0.4300000071525574}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":7,"referenced_works":["https://openalex.org/W1554388601","https://openalex.org/W1602773783","https://openalex.org/W2034533492","https://openalex.org/W2053983779","https://openalex.org/W2093843012","https://openalex.org/W2569481888","https://openalex.org/W3139813401"],"related_works":["https://openalex.org/W2886060011","https://openalex.org/W2372527200","https://openalex.org/W1977876445","https://openalex.org/W2808706851","https://openalex.org/W1988863536","https://openalex.org/W3123721831","https://openalex.org/W2958835316","https://openalex.org/W2551038839","https://openalex.org/W2028201152","https://openalex.org/W2136512149"],"abstract_inverted_index":{"We":[0],"describe":[1],"how":[2],"to":[3,83],"develop":[4],"generic":[5],"efficient":[6],"simulation":[7],"algorithms":[8,29,60,73],"for":[9],"estimating":[10],"price":[11,13],"and":[12,36,48,85],"sensitivities":[14],"(the":[15],"Greeks)":[16],"of":[17,39,51,54,65,69],"financial":[18],"options":[19],"using":[20],"the":[21,40,52,55,66],"Structured":[22],"Database":[23],"Monte":[24],"Carlo":[25],"(SDMC)":[26],"approach.":[27],"These":[28],"are":[30,57,79],"based":[31],"on":[32],"stratification,":[33],"control":[34,86],"variate":[35,87],"a":[37],"combination":[38],"two":[41],"in":[42,74],"an":[43,75],"SDMC":[44,76],"setting.":[45],"Experimental":[46],"results":[47],"some":[49],"discussion":[50],"effectiveness":[53],"approach":[56,68],"provided.":[58],"The":[59],"also":[61],"serve":[62],"as":[63],"illustrations":[64],"basic":[67],"developing":[70],"variance":[71],"reduction":[72],"setting":[77],"that":[78],"not":[80],"necessarily":[81],"limited":[82],"stratification":[84],"techniques.":[88]},"counts_by_year":[{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}