{"id":"https://openalex.org/W2042894594","doi":"https://doi.org/10.1137/120896566","title":"Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching","display_name":"Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W2042894594","doi":"https://doi.org/10.1137/120896566","mag":"2042894594"},"language":"en","primary_location":{"id":"doi:10.1137/120896566","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120896566","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/A5066964804","display_name":"Grigori N. Milstein","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"G. N. Milstein","raw_affiliation_strings":["\u041e\u0442\u0434\u0435\u043b \u043c\u0430\u0442\u0435\u043c\u0430\u0442\u0438\u0447\u0435\u0441\u043a\u043e\u0433\u043e \u043c\u043e\u0434\u0435\u043b\u0438\u0440\u043e\u0432\u0430\u043d\u0438\u044f"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"\u041e\u0442\u0434\u0435\u043b \u043c\u0430\u0442\u0435\u043c\u0430\u0442\u0438\u0447\u0435\u0441\u043a\u043e\u0433\u043e \u043c\u043e\u0434\u0435\u043b\u0438\u0440\u043e\u0432\u0430\u043d\u0438\u044f","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035705885","display_name":"Vladimir Spokoiny","orcid":"https://orcid.org/0000-0002-2040-3427"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"V. Spokoiny","raw_affiliation_strings":["\u041c\u043e\u0441\u043a\u043e\u0432\u0441\u043a\u0438\u0439 \u0444\u0438\u0437\u0438\u043a\u043e-\u0442\u0435\u0445\u043d\u0438\u0447\u0435\u0441\u043a\u0438\u0439 \u0438\u043d\u0441\u0442\u0438\u0442\u0443\u0442 (\u0433\u043e\u0441\u0443\u0434\u0430\u0440\u0441\u0442\u0432\u0435\u043d\u043d\u044b\u0439 \u0443\u043d\u0438\u0432\u0435\u0440\u0441\u0438\u0442\u0435\u0442)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"\u041c\u043e\u0441\u043a\u043e\u0432\u0441\u043a\u0438\u0439 \u0444\u0438\u0437\u0438\u043a\u043e-\u0442\u0435\u0445\u043d\u0438\u0447\u0435\u0441\u043a\u0438\u0439 \u0438\u043d\u0441\u0442\u0438\u0442\u0443\u0442 (\u0433\u043e\u0441\u0443\u0434\u0430\u0440\u0441\u0442\u0432\u0435\u043d\u043d\u044b\u0439 \u0443\u043d\u0438\u0432\u0435\u0440\u0441\u0438\u0442\u0435\u0442)","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.1558756,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"5","issue":"1","first_page":"532","last_page":"556"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9983999729156494,"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":0.9983999729156494,"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":0.9793000221252441,"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/T12137","display_name":"Economic theories and models","score":0.9732000231742859,"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/martingale","display_name":"Martingale (probability theory)","score":0.7286050319671631},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5607436299324036},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.5100515484809875},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.461836576461792},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.44123634696006775},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4404509365558624},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.4348411560058594},{"id":"https://openalex.org/keywords/incomplete-markets","display_name":"Incomplete markets","score":0.4226624071598053},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.40235358476638794},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3892214000225067},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.33332476019859314},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.14551499485969543},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.10604667663574219}],"concepts":[{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.7286050319671631},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5607436299324036},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5100515484809875},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.461836576461792},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.44123634696006775},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4404509365558624},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4348411560058594},{"id":"https://openalex.org/C109354906","wikidata":"https://www.wikidata.org/wiki/Q6015174","display_name":"Incomplete markets","level":2,"score":0.4226624071598053},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.40235358476638794},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3892214000225067},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33332476019859314},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.14551499485969543},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.10604667663574219},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"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/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/120896566","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120896566","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":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W194549626","https://openalex.org/W1493238038","https://openalex.org/W1554532768","https://openalex.org/W1575104486","https://openalex.org/W1587029759","https://openalex.org/W1602773783","https://openalex.org/W1965746347","https://openalex.org/W1969271577","https://openalex.org/W1974769456","https://openalex.org/W1998854671","https://openalex.org/W2030923857","https://openalex.org/W2032051342","https://openalex.org/W2032055260","https://openalex.org/W2040033076","https://openalex.org/W2042775870","https://openalex.org/W2053604117","https://openalex.org/W2075679850","https://openalex.org/W2084228674","https://openalex.org/W2087019456","https://openalex.org/W2108237853","https://openalex.org/W2115102690","https://openalex.org/W3120164020","https://openalex.org/W3122570615","https://openalex.org/W3125159644"],"related_works":["https://openalex.org/W2351666715","https://openalex.org/W2757332726","https://openalex.org/W1967543778","https://openalex.org/W2382902960","https://openalex.org/W2369384937","https://openalex.org/W3192755727","https://openalex.org/W1527010006","https://openalex.org/W2042633848","https://openalex.org/W2116707619","https://openalex.org/W2507611669"],"abstract_inverted_index":{"The":[0,37,46,141],"paper":[1],"focuses":[2],"on":[3,32],"the":[4,43,57,61,66,70,73,77,115,128,132,138,144],"problem":[5,79],"of":[6,22,69,83,131,143],"pricing":[7,38,74,146],"and":[8,29,118,135,147],"hedging":[9,148],"a":[10,26,54,81,100,111],"European":[11,94],"contingent":[12,95],"claim":[13,96],"for":[14,25,80,157],"an":[15,33],"incomplete":[16],"market":[17],"model,":[18,72],"in":[19,52,107],"which":[20,104],"evolution":[21],"price":[23],"processes":[24],"saving":[27],"account":[28],"stocks":[30],"depends":[31],"observable":[34],"Markov":[35,58,133],"chain.":[36],"function":[39,75],"is":[40,50,90,97,105,154],"evaluated":[41],"using":[42,99],"martingale":[44,48],"approach.":[45],"equivalent":[47],"measure":[49],"introduced":[51],"such":[53,110],"way":[55],"that":[56,92],"chain":[59,134],"remains":[60],"historical":[62],"one.":[63],"Due":[64],"to":[65],"Markovian":[67],"structure":[68],"considered":[71,145],"satisfies":[76],"Cauchy":[78],"system":[82],"linear":[84],"parabolic":[85],"partial":[86,151],"differential":[87,152],"equations.":[88],"It":[89],"shown":[91],"any":[93],"attainable":[98],"generalized":[101],"replicating":[102],"strategy":[103],"self-financing":[106],"mean.":[108],"For":[109],"strategy,":[112],"apart":[113],"from":[114],"initial":[116],"endowment":[117],"trading,":[119],"some":[120],"additional":[121],"funds":[122],"are":[123],"required":[124],"both":[125],"stepwise":[126],"at":[127],"jump":[129,139],"moments":[130],"continuously":[136],"between":[137],"moments.":[140],"connection":[142],"problems":[149],"with":[150],"equations":[153],"very":[155],"useful":[156],"computations.":[158]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}