{"id":"https://openalex.org/W2018890045","doi":"https://doi.org/10.1137/100800166","title":"Is the Minimum Value of an Option on Variance Generated by Local Volatility?","display_name":"Is the Minimum Value of an Option on Variance Generated by Local Volatility?","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W2018890045","doi":"https://doi.org/10.1137/100800166","mag":"2018890045"},"language":"en","primary_location":{"id":"doi:10.1137/100800166","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100800166","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"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 Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1001.4031","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5085162361","display_name":"Mathias Beiglb\u00f6ck","orcid":"https://orcid.org/0000-0003-3787-2155"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mathias Beiglb\u00f6ck","raw_affiliation_strings":["mathias.beiglboeck@univie.ac.at#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"mathias.beiglboeck@univie.ac.at#TAB#","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5085656370","display_name":"Peter K. Friz","orcid":"https://orcid.org/0000-0003-2571-8388"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Peter Friz","raw_affiliation_strings":["friz@math.tu-berlin.de and friz@wias-berlin.de#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"friz@math.tu-berlin.de and friz@wias-berlin.de#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5008723758","display_name":"Stephan Sturm","orcid":"https://orcid.org/0000-0002-7214-8843"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Stephan Sturm","raw_affiliation_strings":["ssturm@princeton.edu#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ssturm@princeton.edu#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.165398,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"2","issue":"1","first_page":"213","last_page":"220"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973999857902527,"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":0.9973999857902527,"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":0.9819999933242798,"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/local-volatility","display_name":"Local volatility","score":0.6161180734634399},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5779711008071899},{"id":"https://openalex.org/keywords/variance-swap","display_name":"Variance swap","score":0.5769416689872742},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5622403621673584},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5251510143280029},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.5197743773460388},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.5058659911155701},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5042749643325806},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.49991273880004883},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.49468204379081726},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.4756559729576111},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.4282808303833008},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4222007691860199},{"id":"https://openalex.org/keywords/realized-variance","display_name":"Realized variance","score":0.4197543263435364},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.27476584911346436}],"concepts":[{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.6161180734634399},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5779711008071899},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.5769416689872742},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5622403621673584},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5251510143280029},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.5197743773460388},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5058659911155701},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5042749643325806},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.49991273880004883},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.49468204379081726},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4756559729576111},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4282808303833008},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4222007691860199},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.4197543263435364},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.27476584911346436},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/100800166","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100800166","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"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 Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1001.4031","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1001.4031","pdf_url":"https://arxiv.org/pdf/1001.4031","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.701.1064","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.701.1064","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://users.wpi.edu/%7Essturm/Papers/BFS.pdf","raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1001.4031","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1001.4031","pdf_url":"https://arxiv.org/pdf/1001.4031","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W104454400","https://openalex.org/W297795963","https://openalex.org/W1495300906","https://openalex.org/W1523471994","https://openalex.org/W1575658391","https://openalex.org/W1977477884","https://openalex.org/W2063225484","https://openalex.org/W2139274440","https://openalex.org/W2497607697","https://openalex.org/W2734426420"],"related_works":["https://openalex.org/W3123864348","https://openalex.org/W4287726409","https://openalex.org/W3038290341","https://openalex.org/W1595104281","https://openalex.org/W2578663297","https://openalex.org/W1530811338","https://openalex.org/W2140840123","https://openalex.org/W1593239320","https://openalex.org/W3142046931","https://openalex.org/W3122900760"],"abstract_inverted_index":{"We":[0],"discuss":[1],"the":[2,16],"possibility":[3],"of":[4,18],"obtaining":[5],"model-free":[6],"bounds":[7],"on":[8],"volatility":[9,22],"derivatives,":[10],"given":[11],"present":[12],"market":[13],"data":[14],"in":[15],"form":[17],"a":[19,27],"calibrated":[20],"local":[21],"model.":[23],"A":[24],"counterexample":[25],"to":[26],"widespread":[28],"conjecture":[29],"is":[30],"given.":[31]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2016-06-24T00:00:00"}