{"id":"https://openalex.org/W2012969046","doi":"https://doi.org/10.1137/100803614","title":"Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models","display_name":"Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W2012969046","doi":"https://doi.org/10.1137/100803614","mag":"2012969046"},"language":"en","primary_location":{"id":"doi:10.1137/100803614","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100803614","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","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1007.4361","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051801244","display_name":"Jean\u2010Pierre Fouque","orcid":"https://orcid.org/0000-0001-8786-5645"},"institutions":[{"id":"https://openalex.org/I154570441","display_name":"University of California, Santa Barbara","ror":"https://ror.org/02t274463","country_code":"US","type":"education","lineage":["https://openalex.org/I154570441"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jean-Pierre Fouque","raw_affiliation_strings":["University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity","institution_ids":["https://openalex.org/I154570441"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016897782","display_name":"Sebastian Jaimungal","orcid":"https://orcid.org/0000-0002-0193-0993"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Sebastian Jaimungal","raw_affiliation_strings":["University of Toronto, Department of Statistics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Toronto, Department of Statistics","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5029466911","display_name":"Matthew Lorig","orcid":"https://orcid.org/0000-0001-5307-3447"},"institutions":[{"id":"https://openalex.org/I201448701","display_name":"University of Washington","ror":"https://ror.org/00cvxb145","country_code":"US","type":"education","lineage":["https://openalex.org/I201448701"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Matthew J. Lorig","raw_affiliation_strings":["University of Washington, Applied mathematics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Washington, Applied mathematics","institution_ids":["https://openalex.org/I201448701"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.2826,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.83847454,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"2","issue":"1","first_page":"665","last_page":"691"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"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":0.9998000264167786,"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":0.9871000051498413,"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":0.972100019454956,"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/stochastic-volatility","display_name":"Stochastic volatility","score":0.7110031247138977},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.6501792669296265},{"id":"https://openalex.org/keywords/singular-perturbation","display_name":"Singular perturbation","score":0.5910733342170715},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5664272904396057},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5104461908340454},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.499011754989624},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.47403645515441895},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.4662564992904663},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.4484708607196808},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4417757987976074},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.41028112173080444},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12829884886741638},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.10226595401763916}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7110031247138977},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.6501792669296265},{"id":"https://openalex.org/C165160513","wikidata":"https://www.wikidata.org/wiki/Q7524249","display_name":"Singular perturbation","level":2,"score":0.5910733342170715},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5664272904396057},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5104461908340454},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.499011754989624},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.47403645515441895},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4662564992904663},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.4484708607196808},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4417757987976074},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.41028112173080444},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12829884886741638},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.10226595401763916}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1137/100803614","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100803614","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:1007.4361","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1007.4361","pdf_url":"https://arxiv.org/pdf/1007.4361","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":"mag:2012969046","is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1770747_code879537.pdf?abstractid=1652302&mirid=1","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"mag:3122204911","is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:arx:papers:1007.4361","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.751.2838","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.751.2838","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/1007.4361.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:1007.4361","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"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":"preprint"},{"id":"doi:10.48550/arxiv.1007.4361","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1007.4361","pdf_url":null,"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":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1007.4361","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1007.4361","pdf_url":"https://arxiv.org/pdf/1007.4361","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":29,"referenced_works":["https://openalex.org/W69337820","https://openalex.org/W177587320","https://openalex.org/W278382252","https://openalex.org/W297795963","https://openalex.org/W589632285","https://openalex.org/W630264926","https://openalex.org/W635986039","https://openalex.org/W1502903691","https://openalex.org/W1514815886","https://openalex.org/W1523050803","https://openalex.org/W1556571995","https://openalex.org/W1561734496","https://openalex.org/W1575972778","https://openalex.org/W1584944013","https://openalex.org/W1977153352","https://openalex.org/W1988323602","https://openalex.org/W2004330626","https://openalex.org/W2009548095","https://openalex.org/W2023970747","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2101346572","https://openalex.org/W2119684423","https://openalex.org/W2120367138","https://openalex.org/W2129424118","https://openalex.org/W2148080284","https://openalex.org/W2463095488","https://openalex.org/W3124165153","https://openalex.org/W3124742600"],"related_works":["https://openalex.org/W2039355302","https://openalex.org/W2150066941","https://openalex.org/W2005514249","https://openalex.org/W1526940529","https://openalex.org/W1003535860","https://openalex.org/W2205628681","https://openalex.org/W3123954224","https://openalex.org/W326740923","https://openalex.org/W2994814085","https://openalex.org/W3124345572","https://openalex.org/W3015812536","https://openalex.org/W1483776464","https://openalex.org/W2004330626","https://openalex.org/W2726609003","https://openalex.org/W2579939985","https://openalex.org/W2047849118","https://openalex.org/W2319551101","https://openalex.org/W1984826727","https://openalex.org/W2070550919","https://openalex.org/W3163094196"],"abstract_inverted_index":{"Using":[0],"spectral":[1],"decomposition":[2],"techniques":[3],"and":[4,22,47,82,136],"singular":[5],"perturbation":[6],"theory,":[7],"we":[8,102],"develop":[9],"a":[10,18,26,124],"systematic":[11],"method":[12,33],"to":[13,36,39,70,105],"approximate":[14],"the":[15,65,75,114,130,134],"prices":[16],"of":[17,20,67,77],"variety":[19],"European":[21],"path-dependent":[23],"options":[24,72,119],"in":[25,42,51,86,123,128],"fast":[27],"mean-reverting":[28],"stochastic":[29,125],"volatility":[30,126,137],"setting.":[31],"Our":[32],"is":[34,113],"shown":[35],"be":[37],"equivalent":[38],"those":[40],"developed":[41],"[J.-P.":[43,78],"Fouque,":[44,79],"G.":[45,80],"Papanicolaou,":[46,81],"R.":[48,83],"Sircar,":[49,84],"Derivatives":[50,85],"Financial":[52,87],"Markets":[53,88],"with":[54,89],"Stochastic":[55,90],"Volatility,":[56,91],"Cambridge":[57,92],"University":[58,93],"Press,":[59,94],"Cambridge,":[60,95],"UK,":[61,96],"2000]":[62,97],"but":[63],"has":[64],"advantage":[66],"being":[68],"able":[69,104],"price":[71,106],"for":[73],"which":[74,129],"methods":[76],"are":[98,103,138],"unsuitable.":[99],"In":[100],"particular,":[101],"double-barrier":[107,118],"options.":[108],"To":[109],"our":[110],"knowledge,":[111],"this":[112],"first":[115],"time":[116],"that":[117],"have":[120],"been":[121],"priced":[122],"setting":[127],"Brownian":[131],"motions":[132],"driving":[133],"stock":[135],"correlated.":[139]},"counts_by_year":[{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}