{"id":"https://openalex.org/W4240501358","doi":"https://doi.org/10.1109/wsc.2008.4736118","title":"Revisit of stochastic mesh method for pricing American options","display_name":"Revisit of stochastic mesh method for pricing American options","publication_year":2008,"publication_date":"2008-12-01","ids":{"openalex":"https://openalex.org/W4240501358","doi":"https://doi.org/10.1109/wsc.2008.4736118"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2008.4736118","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2008.4736118","pdf_url":null,"source":{"id":"https://openalex.org/S4363608392","display_name":"2008 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":"2008 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/A5059077950","display_name":"Guangwu Liu","orcid":"https://orcid.org/0000-0002-5602-0540"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Guangwu Liu","raw_affiliation_strings":["Department of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology, Hong Kong, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology, Hong Kong, China","institution_ids":["https://openalex.org/I200769079"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069061259","display_name":"L. Jeff Hong","orcid":"https://orcid.org/0000-0001-7011-4001"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"L. Jeff Hong","raw_affiliation_strings":["Department of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology, Hong Kong, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology, Hong Kong, China","institution_ids":["https://openalex.org/I200769079"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.4667,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.89041096,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"7","issue":null,"first_page":"594","last_page":"601"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9980000257492065,"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":0.9980000257492065,"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":0.9866999983787537,"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":0.9812999963760376,"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/variance","display_name":"Variance (accounting)","score":0.6498099565505981},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6140396595001221},{"id":"https://openalex.org/keywords/exploit","display_name":"Exploit","score":0.5500940680503845},{"id":"https://openalex.org/keywords/sampling","display_name":"Sampling (signal processing)","score":0.4105921983718872},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.35410362482070923},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.33281654119491577},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2975044250488281},{"id":"https://openalex.org/keywords/computer-vision","display_name":"Computer vision","score":0.08294343948364258},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.0695505440235138}],"concepts":[{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6498099565505981},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6140396595001221},{"id":"https://openalex.org/C165696696","wikidata":"https://www.wikidata.org/wiki/Q11287","display_name":"Exploit","level":2,"score":0.5500940680503845},{"id":"https://openalex.org/C140779682","wikidata":"https://www.wikidata.org/wiki/Q210868","display_name":"Sampling (signal processing)","level":3,"score":0.4105921983718872},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.35410362482070923},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33281654119491577},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2975044250488281},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.08294343948364258},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0695505440235138},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","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},{"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.2008.4736118","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2008.4736118","pdf_url":null,"source":{"id":"https://openalex.org/S4363608392","display_name":"2008 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":"2008 Winter Simulation Conference","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":10,"referenced_works":["https://openalex.org/W120657614","https://openalex.org/W1574770694","https://openalex.org/W1602773783","https://openalex.org/W1968458373","https://openalex.org/W2124506982","https://openalex.org/W2126311658","https://openalex.org/W2156168464","https://openalex.org/W2163825837","https://openalex.org/W2463126551","https://openalex.org/W4292026806"],"related_works":["https://openalex.org/W17155033","https://openalex.org/W3207760230","https://openalex.org/W1496222301","https://openalex.org/W4312814274","https://openalex.org/W1590307681","https://openalex.org/W2536018345","https://openalex.org/W4285370786","https://openalex.org/W2296488620","https://openalex.org/W2358353312","https://openalex.org/W2353836703"],"abstract_inverted_index":{"We":[0,64,95,115],"revisit":[1],"the":[2,16,32,51,54,73,76,82,85,100,104,112,117,120,126,129],"stochastic":[3],"mesh":[4],"method":[5],"for":[6],"pricing":[7],"American":[8],"options,":[9],"from":[10,26],"a":[11],"conditioning":[12],"viewpoint,":[13,29],"rather":[14],"than":[15],"importance":[17],"sampling":[18],"viewpoint":[19],"of":[20,53,75,84,119,128],"Broadie":[21,36],"and":[22,37,40,111,123],"Glasserman":[23,38],"(1997).":[24],"Starting":[25],"this":[27],"new":[28,67],"we":[30,59,90],"derive":[31,66],"weights":[33,44,68,102,122,131],"proposed":[34],"by":[35],"(1997)":[39],"show":[41,96],"that":[42,69],"their":[43],"at":[45],"each":[46],"exercise":[47,56,78,87],"date":[48,57,79,88],"use":[49],"only":[50,72],"information":[52,74,83],"next":[55,77],"(therefore,":[58,89],"call":[60,91],"them":[61,92],"forward-looking":[62,130],"weights).":[63,94],"also":[65,81],"exploit":[70],"not":[71],"but":[80],"last":[86],"binocular":[93,101,121],"how":[97],"to":[98,103,125],"apply":[99],"Black-Scholes":[105],"model,":[106],"more":[107],"general":[108],"diffusion":[109],"models,":[110],"variance-gamma":[113],"model.":[114],"demonstrate":[116],"performance":[118,127],"compare":[124],"through":[132],"numerical":[133],"experiments.":[134]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
