{"id":"https://openalex.org/W1987709497","doi":"https://doi.org/10.1137/080716839","title":"Risk Minimizing Option Pricing in a Semi-Markov Modulated Market","display_name":"Risk Minimizing Option Pricing in a Semi-Markov Modulated Market","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W1987709497","doi":"https://doi.org/10.1137/080716839","mag":"1987709497"},"language":"en","primary_location":{"id":"doi:10.1137/080716839","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080716839","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-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/A5049391766","display_name":"Mrinal K. Ghosh","orcid":"https://orcid.org/0000-0003-4959-3065"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mrinal K. Ghosh","raw_affiliation_strings":["mkg@math.iisc.ernet.in and anindya@math.iisc.ernet.in#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"mkg@math.iisc.ernet.in and anindya@math.iisc.ernet.in#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5089986626","display_name":"Anindya Goswami","orcid":"https://orcid.org/0000-0002-3428-6102"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Anindya Goswami","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.3168,"has_fulltext":false,"cited_by_count":37,"citation_normalized_percentile":{"value":0.84170289,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"48","issue":"3","first_page":"1519","last_page":"1541"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"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":0.9994000196456909,"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":0.9830999970436096,"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"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9772999882698059,"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/valuation-of-options","display_name":"Valuation of options","score":0.6802404522895813},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.6686157584190369},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.6640547513961792},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5368258357048035},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5036496520042419},{"id":"https://openalex.org/keywords/markov-model","display_name":"Markov model","score":0.48203861713409424},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.47920164465904236},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.42439451813697815},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08652001619338989}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6802404522895813},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.6686157584190369},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.6640547513961792},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5368258357048035},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5036496520042419},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.48203861713409424},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.47920164465904236},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.42439451813697815},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08652001619338989}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/080716839","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080716839","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:eprints.iisc.ac.in:21631","is_oa":false,"landing_page_url":"http://eprints.iisc.ac.in/21631/","pdf_url":null,"source":{"id":"https://openalex.org/S4377196309","display_name":"NOT FOUND REPOSITORY (Indian Institute of Science Bangalore)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I59270414","host_organization_name":"Indian Institute of Science Bangalore","host_organization_lineage":["https://openalex.org/I59270414"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W21271374","https://openalex.org/W1493238038","https://openalex.org/W1527296550","https://openalex.org/W1573587806","https://openalex.org/W1965746347","https://openalex.org/W1995304448","https://openalex.org/W1999013111","https://openalex.org/W2006373179","https://openalex.org/W2017032949","https://openalex.org/W2023946479","https://openalex.org/W2029920538","https://openalex.org/W2031600874","https://openalex.org/W2032055260","https://openalex.org/W2034413077","https://openalex.org/W2053604117","https://openalex.org/W2054515856","https://openalex.org/W2058040543","https://openalex.org/W2060819023","https://openalex.org/W2070851600","https://openalex.org/W2071622900","https://openalex.org/W2084228674","https://openalex.org/W2087019456","https://openalex.org/W2108237853","https://openalex.org/W2115102690","https://openalex.org/W2122877839","https://openalex.org/W2151688581","https://openalex.org/W2369386221","https://openalex.org/W3120164020","https://openalex.org/W3134067276","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2379651310","https://openalex.org/W2113019827","https://openalex.org/W1541249122","https://openalex.org/W2084326697","https://openalex.org/W2027903142","https://openalex.org/W2354322608","https://openalex.org/W2804608325","https://openalex.org/W2077211377","https://openalex.org/W2186675474","https://openalex.org/W2387462590"],"abstract_inverted_index":{"We":[0,57],"address":[1],"risk":[2,46],"minimizing":[3,47],"option":[4,64],"pricing":[5],"in":[6],"a":[7,18],"semi-Markov":[8,21,36],"modulated":[9],"market":[10],"where":[11],"the":[12,27,30,35,39,44,53],"floating":[13],"interest":[14],"rate":[15,25],"depends":[16],"on":[17,34],"finite":[19],"state":[20],"process.":[22,37],"The":[23],"growth":[24],"and":[26,52],"volatility":[28],"of":[29],"stock":[31],"also":[32],"depend":[33],"Using":[38],"F\u00f6llmer\u2013Schweizer":[40],"decomposition":[41],"we":[42],"find":[43],"locally":[45],"price":[48],"for":[49,62],"European":[50],"options":[51],"corresponding":[54],"hedging":[55],"strategy.":[56],"develop":[58],"suitable":[59],"numerical":[60],"methods":[61],"computing":[63],"prices.":[65]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2026-08-18T07:49:30.821534","created_date":"2025-10-10T00:00:00"}