{"id":"https://openalex.org/W1544954649","doi":"https://doi.org/10.1137/100815566","title":"A Finite-Dimensional Approximation for Pricing Moving Average Options","display_name":"A Finite-Dimensional Approximation for Pricing Moving Average Options","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W1544954649","doi":"https://doi.org/10.1137/100815566","mag":"1544954649"},"language":"en","primary_location":{"id":"doi:10.1137/100815566","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100815566","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":["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/A5087068155","display_name":"Marie Bernhart","orcid":null},"institutions":[{"id":"https://openalex.org/I4210143116","display_name":"\u00c9lectricit\u00e9 de France (France)","ror":"https://ror.org/03wb8xz10","country_code":"FR","type":"company","lineage":["https://openalex.org/I4210143116"]},{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Marie Bernhart","raw_affiliation_strings":["LPMA - Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires (France)","EDF - EDF (France)"],"affiliations":[{"raw_affiliation_string":"LPMA - Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires (France)","institution_ids":["https://openalex.org/I4210147464"]},{"raw_affiliation_string":"EDF - EDF (France)","institution_ids":["https://openalex.org/I4210143116"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5052828075","display_name":"Peter Tankov","orcid":"https://orcid.org/0000-0003-4882-9806"},"institutions":[{"id":"https://openalex.org/I4210107641","display_name":"Centre de Math\u00e9matiques Appliqu\u00e9es","ror":"https://ror.org/012e1xn46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210107641","https://openalex.org/I4210141950","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Peter Tankov","raw_affiliation_strings":["CMAP - Centre de Math\u00e9matiques Appliqu\u00e9es - Ecole Polytechnique (\u00c9cole Polytechnique Route de Saclay 91128 Palaiseau Cedex - France)"],"affiliations":[{"raw_affiliation_string":"CMAP - Centre de Math\u00e9matiques Appliqu\u00e9es - Ecole Polytechnique (\u00c9cole Polytechnique Route de Saclay 91128 Palaiseau Cedex - France)","institution_ids":["https://openalex.org/I4210107641","https://openalex.org/I142476485"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000513018","display_name":"Xavier Warin","orcid":"https://orcid.org/0000-0002-1784-2875"},"institutions":[{"id":"https://openalex.org/I4210143116","display_name":"\u00c9lectricit\u00e9 de France (France)","ror":"https://ror.org/03wb8xz10","country_code":"FR","type":"company","lineage":["https://openalex.org/I4210143116"]},{"id":"https://openalex.org/I56435720","display_name":"Universit\u00e9 Paris Dauphine-PSL","ror":"https://ror.org/052bz7812","country_code":"FR","type":"education","lineage":["https://openalex.org/I2746051580","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Xavier Warin","raw_affiliation_strings":["FiME Lab - Laboratoire de Finance des March\u00e9s d'Energie (Universit\u00e9 Paris Dauphine 1 place du Mar\u00e9chal de Lattre de Tassigny 75116 Paris - France)","EDF - EDF (France)"],"affiliations":[{"raw_affiliation_string":"FiME Lab - Laboratoire de Finance des March\u00e9s d'Energie (Universit\u00e9 Paris Dauphine 1 place du Mar\u00e9chal de Lattre de Tassigny 75116 Paris - France)","institution_ids":["https://openalex.org/I56435720"]},{"raw_affiliation_string":"EDF - EDF (France)","institution_ids":["https://openalex.org/I4210143116"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5087068155"],"corresponding_institution_ids":["https://openalex.org/I4210143116","https://openalex.org/I4210147464"],"apc_list":null,"apc_paid":null,"fwci":2.1384,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":{"value":0.88329609,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"2","issue":"1","first_page":"989","last_page":"1013"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"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":0.9995999932289124,"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":0.9822999835014343,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9598000049591064,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/applied-mathematics","display_name":"Applied mathematics","score":0.5855041742324829},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.5534095764160156},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5154010057449341},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.5152109265327454},{"id":"https://openalex.org/keywords/rate-of-convergence","display_name":"Rate of convergence","score":0.49026039242744446},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.48291918635368347},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.4772336781024933},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.4695466160774231},{"id":"https://openalex.org/keywords/laguerre-polynomials","display_name":"Laguerre polynomials","score":0.46738043427467346},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4646906852722168},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2642804980278015},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.2149198055267334},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.20732393860816956},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.18471336364746094},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13884815573692322}],"concepts":[{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5855041742324829},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5534095764160156},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5154010057449341},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.5152109265327454},{"id":"https://openalex.org/C57869625","wikidata":"https://www.wikidata.org/wiki/Q1783502","display_name":"Rate of convergence","level":3,"score":0.49026039242744446},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.48291918635368347},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.4772336781024933},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.4695466160774231},{"id":"https://openalex.org/C108408018","wikidata":"https://www.wikidata.org/wiki/Q1124546","display_name":"Laguerre polynomials","level":2,"score":0.46738043427467346},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4646906852722168},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2642804980278015},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.2149198055267334},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.20732393860816956},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.18471336364746094},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13884815573692322},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C127162648","wikidata":"https://www.wikidata.org/wiki/Q16858953","display_name":"Channel (broadcasting)","level":2,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/100815566","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100815566","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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1655517863","https://openalex.org/W1995800062","https://openalex.org/W2000706650","https://openalex.org/W2003115626","https://openalex.org/W2008270930","https://openalex.org/W2015818047","https://openalex.org/W2020896202","https://openalex.org/W2028783611","https://openalex.org/W2048901903","https://openalex.org/W2055337535","https://openalex.org/W2058845769","https://openalex.org/W2092572205","https://openalex.org/W2095123722","https://openalex.org/W2120262280","https://openalex.org/W2126311658","https://openalex.org/W2152565894","https://openalex.org/W2158084533","https://openalex.org/W2169045607","https://openalex.org/W2314367504","https://openalex.org/W2749241984","https://openalex.org/W3002174615","https://openalex.org/W3023346641"],"related_works":["https://openalex.org/W2038558186","https://openalex.org/W1515881615","https://openalex.org/W4300143776","https://openalex.org/W2953123469","https://openalex.org/W3150993733","https://openalex.org/W3038169181","https://openalex.org/W3080706152","https://openalex.org/W1607627392","https://openalex.org/W2351073469","https://openalex.org/W2029895767"],"abstract_inverted_index":{"We":[0,62],"propose":[1,53],"a":[2,23,37,46,56],"method":[3,21,70],"for":[4],"pricing":[5],"American":[6],"options":[7],"whose":[8],"payoff":[9],"depends":[10],"on":[11,36],"the":[12,16,27,31,64,76],"moving":[13,32],"average":[14,33],"of":[15,26,30,68],"underlying":[17],"asset":[18],"price.":[19],"The":[20,42],"uses":[22],"finite-dimensional":[24,47],"approximation":[25],"infinite-dimensional":[28],"dynamics":[29],"process":[34],"based":[35],"truncated":[38],"Laguerre":[39],"series":[40],"expansion.":[41],"resulting":[43],"problem":[44],"is":[45],"optimal":[48],"stopping":[49],"problem,":[50],"which":[51],"we":[52],"solving":[54],"with":[55],"least":[57],"squares":[58],"Monte":[59],"Carlo":[60],"approach.":[61],"analyze":[63],"theoretical":[65],"convergence":[66],"rate":[67],"our":[69],"and":[71],"present":[72],"numerical":[73],"results":[74],"in":[75],"Black\u2013Scholes":[77],"framework.":[78]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-03-10T16:38:18.471706","created_date":"2025-10-10T00:00:00"}