{"id":"https://openalex.org/W4245156099","doi":"https://doi.org/10.1109/wsc.2001.977294","title":"Efficient simulation for discrete path-dependent option pricing","display_name":"Efficient simulation for discrete path-dependent option pricing","publication_year":2002,"publication_date":"2002-11-13","ids":{"openalex":"https://openalex.org/W4245156099","doi":"https://doi.org/10.1109/wsc.2001.977294"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2001.977294","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2001.977294","pdf_url":null,"source":{"id":"https://openalex.org/S4363608270","display_name":"Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304)","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":"Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304)","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/A5009582738","display_name":"J.M. Calvin","orcid":null},"institutions":[{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"J.M. Calvin","raw_affiliation_strings":["Department of Computer Science, New Jersey Institute of Technology, Newark, NJ, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, New Jersey Institute of Technology, Newark, NJ, USA","institution_ids":["https://openalex.org/I118118575"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5009582738"],"corresponding_institution_ids":["https://openalex.org/I118118575"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.58426966,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"325","last_page":"328"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9954000115394592,"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":0.9954000115394592,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9186000227928162,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9143999814987183,"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/path","display_name":"Path (computing)","score":0.6282604336738586},{"id":"https://openalex.org/keywords/constant","display_name":"Constant (computer programming)","score":0.6000450849533081},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.5385253429412842},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.5345256924629211},{"id":"https://openalex.org/keywords/connection","display_name":"Connection (principal bundle)","score":0.5344205498695374},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5316182971000671},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5195525288581848},{"id":"https://openalex.org/keywords/expected-value","display_name":"Expected value","score":0.5140095949172974},{"id":"https://openalex.org/keywords/random-walk","display_name":"Random walk","score":0.5128817558288574},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.5092090368270874},{"id":"https://openalex.org/keywords/terminal","display_name":"Terminal (telecommunication)","score":0.48453110456466675},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4716697633266449},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.36301618814468384},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3351631760597229},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.15389543771743774},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.073619544506073},{"id":"https://openalex.org/keywords/telecommunications","display_name":"Telecommunications","score":0.06840267777442932}],"concepts":[{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.6282604336738586},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.6000450849533081},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.5385253429412842},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.5345256924629211},{"id":"https://openalex.org/C13355873","wikidata":"https://www.wikidata.org/wiki/Q2920850","display_name":"Connection (principal bundle)","level":2,"score":0.5344205498695374},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5316182971000671},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5195525288581848},{"id":"https://openalex.org/C141042865","wikidata":"https://www.wikidata.org/wiki/Q200125","display_name":"Expected value","level":2,"score":0.5140095949172974},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.5128817558288574},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.5092090368270874},{"id":"https://openalex.org/C2779664074","wikidata":"https://www.wikidata.org/wiki/Q3518405","display_name":"Terminal (telecommunication)","level":2,"score":0.48453110456466675},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4716697633266449},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.36301618814468384},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3351631760597229},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15389543771743774},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.073619544506073},{"id":"https://openalex.org/C76155785","wikidata":"https://www.wikidata.org/wiki/Q418","display_name":"Telecommunications","level":1,"score":0.06840267777442932},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","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},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2001.977294","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2001.977294","pdf_url":null,"source":{"id":"https://openalex.org/S4363608270","display_name":"Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304)","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":"Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":5,"referenced_works":["https://openalex.org/W1872984479","https://openalex.org/W1975761536","https://openalex.org/W2001917146","https://openalex.org/W2319985292","https://openalex.org/W6639198185"],"related_works":["https://openalex.org/W3211557223","https://openalex.org/W1528816634","https://openalex.org/W587735977","https://openalex.org/W2007036916","https://openalex.org/W4206528302","https://openalex.org/W872563264","https://openalex.org/W2164087676","https://openalex.org/W1597743604","https://openalex.org/W4240867999","https://openalex.org/W1593366236"],"abstract_inverted_index":{"The":[0,43],"article":[1],"presents":[2],"an":[3],"algorithm":[4,49],"for":[5,14],"simulating":[6],"functions":[7],"of":[8,30,41,47,59],"the":[9,28,48,57],"minimum":[10],"and":[11],"terminal":[12],"value":[13,29],"a":[15,38,54],"random":[16],"walk":[17],"with":[18,26],"Gaussian":[19],"increments.":[20],"These":[21],"expectations":[22],"arise":[23],"in":[24],"connection":[25],"estimating":[27],"path-dependent":[31],"options":[32],"when":[33],"prices":[34],"are":[35],"monitored":[36],"at":[37],"discrete":[39],"set":[40],"times.":[42],"expected":[44],"running":[45],"time":[46],"is":[50],"bounded":[51],"above":[52],"by":[53],"constant":[55],"as":[56],"number":[58],"steps":[60],"increases.":[61]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}