{"id":"https://openalex.org/W2607049963","doi":"https://doi.org/10.1137/16m1074746","title":"An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options","display_name":"An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2607049963","doi":"https://doi.org/10.1137/16m1074746","mag":"2607049963"},"language":"en","primary_location":{"id":"doi:10.1137/16m1074746","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1074746","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"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 Numerical Analysis","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/A5110012684","display_name":"Mohan K. Kadalbajoo","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mohan K. Kadalbajoo","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018793676","display_name":"Lok Pati Tripathi","orcid":"https://orcid.org/0000-0001-5985-4658"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lok Pati Tripathi","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5048901794","display_name":"Alpesh Kumar","orcid":"https://orcid.org/0000-0001-9695-4594"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Alpesh Kumar","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":1.7174,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.8565019,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"55","issue":"2","first_page":"869","last_page":"891"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9768999814987183,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9621999859809875,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7689882516860962},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.7646433115005493},{"id":"https://openalex.org/keywords/finite-element-method","display_name":"Finite element method","score":0.6859455108642578},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.592481255531311},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.5496457815170288},{"id":"https://openalex.org/keywords/inequality","display_name":"Inequality","score":0.5079672932624817},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.49350106716156006},{"id":"https://openalex.org/keywords/element","display_name":"Element (criminal law)","score":0.4857524037361145},{"id":"https://openalex.org/keywords/variational-inequality","display_name":"Variational inequality","score":0.43641984462738037},{"id":"https://openalex.org/keywords/differential","display_name":"Differential (mechanical device)","score":0.4286131262779236},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.38017159700393677},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.22360363602638245}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7689882516860962},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7646433115005493},{"id":"https://openalex.org/C135628077","wikidata":"https://www.wikidata.org/wiki/Q220184","display_name":"Finite element method","level":2,"score":0.6859455108642578},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.592481255531311},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5496457815170288},{"id":"https://openalex.org/C45555294","wikidata":"https://www.wikidata.org/wiki/Q28113351","display_name":"Inequality","level":2,"score":0.5079672932624817},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.49350106716156006},{"id":"https://openalex.org/C200288055","wikidata":"https://www.wikidata.org/wiki/Q2621792","display_name":"Element (criminal law)","level":2,"score":0.4857524037361145},{"id":"https://openalex.org/C161999928","wikidata":"https://www.wikidata.org/wiki/Q4556320","display_name":"Variational inequality","level":2,"score":0.43641984462738037},{"id":"https://openalex.org/C93226319","wikidata":"https://www.wikidata.org/wiki/Q193137","display_name":"Differential (mechanical device)","level":2,"score":0.4286131262779236},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.38017159700393677},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.22360363602638245},{"id":"https://openalex.org/C146978453","wikidata":"https://www.wikidata.org/wiki/Q3798668","display_name":"Aerospace engineering","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","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},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/16m1074746","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1074746","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"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 Numerical Analysis","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.7200000286102295,"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities"}],"awards":[{"id":"https://openalex.org/G7433131593","display_name":null,"funder_award_id":"SERB/F/1279/2011-2012","funder_id":"https://openalex.org/F4320334771","funder_display_name":"Science and Engineering Research Board"}],"funders":[{"id":"https://openalex.org/F4320334771","display_name":"Science and Engineering Research Board","ror":"https://ror.org/03ffdsr55"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W77078939","https://openalex.org/W1503295912","https://openalex.org/W1604311391","https://openalex.org/W1967077838","https://openalex.org/W1980666017","https://openalex.org/W1994111439","https://openalex.org/W1995653720","https://openalex.org/W2000419761","https://openalex.org/W2005558064","https://openalex.org/W2010419547","https://openalex.org/W2026365342","https://openalex.org/W2048956060","https://openalex.org/W2051269616","https://openalex.org/W2064978316","https://openalex.org/W2065691568","https://openalex.org/W2068573648","https://openalex.org/W2073071741","https://openalex.org/W2076206883","https://openalex.org/W2076959590","https://openalex.org/W2077791698","https://openalex.org/W2080286280","https://openalex.org/W2084083490","https://openalex.org/W2134864040","https://openalex.org/W2142278738","https://openalex.org/W2148080284","https://openalex.org/W2151065060","https://openalex.org/W2158159144","https://openalex.org/W2159074954","https://openalex.org/W2479942139","https://openalex.org/W2582171088","https://openalex.org/W2934526567","https://openalex.org/W3122167020","https://openalex.org/W3124062437","https://openalex.org/W4231057775"],"related_works":["https://openalex.org/W2648988829","https://openalex.org/W2507439616","https://openalex.org/W2998311464","https://openalex.org/W3124741583","https://openalex.org/W362430865","https://openalex.org/W2954755983","https://openalex.org/W2362743624","https://openalex.org/W3121278253","https://openalex.org/W3192755727","https://openalex.org/W2390566486"],"abstract_inverted_index":{"The":[0,42],"aim":[1],"of":[2,48],"this":[3],"article":[4],"is":[5],"to":[6],"develop":[7],"and":[8,26,45],"analyze":[9],"a":[10],"finite":[11],"element":[12],"method,":[13],"combined":[14],"with":[15],"implicit-explicit":[16],"(IMEX)":[17],"time":[18],"semidiscretizations,":[19],"for":[20],"pricing":[21],"American":[22],"options":[23],"under":[24],"Merton's":[25],"Kou's":[27],"jump-diffusion":[28],"models.":[29],"Under":[30],"realistic":[31],"regularity":[32],"assumptions":[33],"on":[34],"the":[35,46,49],"data,":[36],"some":[37],"error":[38],"estimates":[39],"are":[40,52],"established.":[41],"theoretical":[43],"findings":[44],"efficiency":[47],"proposed":[50],"methods":[51],"demonstrated":[53],"by":[54],"several":[55],"numerical":[56],"experiments.":[57]},"counts_by_year":[{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":4}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
