{"id":"https://openalex.org/W3138189471","doi":"https://doi.org/10.1137/21m140674x","title":"American Options in the Volterra Heston Model","display_name":"American Options in the Volterra Heston Model","publication_year":2022,"publication_date":"2022-04-27","ids":{"openalex":"https://openalex.org/W3138189471","doi":"https://doi.org/10.1137/21m140674x","mag":"3138189471"},"language":"en","primary_location":{"id":"doi:10.1137/21m140674x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m140674x","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":true,"oa_status":"green","oa_url":"https://hal.science/hal-03178306","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029470908","display_name":"Etienne Chevalier","orcid":null},"institutions":[{"id":"https://openalex.org/I4210155549","display_name":"Laboratoire de Math\u00e9matiques","ror":"https://ror.org/05sd5r855","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I198244214","https://openalex.org/I4210141950","https://openalex.org/I4210155549"]},{"id":"https://openalex.org/I4387153769","display_name":"Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'\u00c9vry","ror":"https://ror.org/03jca6281","country_code":null,"type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I4210097372","https://openalex.org/I4387153769","https://openalex.org/I88467170"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Etienne Chevalier","raw_affiliation_strings":["LaMME - Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'Evry (IBGBI, 23 boulevard de France\r\n91037 Evry - France)"],"affiliations":[{"raw_affiliation_string":"LaMME - Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'Evry (IBGBI, 23 boulevard de France\r\n91037 Evry - France)","institution_ids":["https://openalex.org/I4210155549","https://openalex.org/I4387153769"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5103149697","display_name":"Sergio Pulido","orcid":"https://orcid.org/0000-0001-7629-8585"},"institutions":[{"id":"https://openalex.org/I4210155549","display_name":"Laboratoire de Math\u00e9matiques","ror":"https://ror.org/05sd5r855","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I198244214","https://openalex.org/I4210141950","https://openalex.org/I4210155549"]},{"id":"https://openalex.org/I4210097372","display_name":"\u00c9cole Nationale Sup\u00e9rieure d\u2019Informatique pour l\u2019Industrie et l\u2019Entreprise","ror":"https://ror.org/00tx98v53","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210097372"]},{"id":"https://openalex.org/I4387153769","display_name":"Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'\u00c9vry","ror":"https://ror.org/03jca6281","country_code":null,"type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I4210097372","https://openalex.org/I4387153769","https://openalex.org/I88467170"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Sergio Pulido","raw_affiliation_strings":["LaMME - Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'Evry (IBGBI, 23 boulevard de France\r\n91037 Evry - France)","ENSIIE - Ecole Nationale Sup\u00e9rieure d'Informatique pour l'Industrie et l'Entreprise (France)"],"affiliations":[{"raw_affiliation_string":"LaMME - Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'Evry (IBGBI, 23 boulevard de France\r\n91037 Evry - France)","institution_ids":["https://openalex.org/I4210155549","https://openalex.org/I4387153769"]},{"raw_affiliation_string":"ENSIIE - Ecole Nationale Sup\u00e9rieure d'Informatique pour l'Industrie et l'Entreprise (France)","institution_ids":["https://openalex.org/I4210097372"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079037038","display_name":"Elizabeth Z\u00fa\u00f1iga","orcid":"https://orcid.org/0009-0005-0729-187X"},"institutions":[{"id":"https://openalex.org/I4387153769","display_name":"Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'\u00c9vry","ror":"https://ror.org/03jca6281","country_code":null,"type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I4210097372","https://openalex.org/I4387153769","https://openalex.org/I88467170"]},{"id":"https://openalex.org/I4210155549","display_name":"Laboratoire de Math\u00e9matiques","ror":"https://ror.org/05sd5r855","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I198244214","https://openalex.org/I4210141950","https://openalex.org/I4210155549"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Elizabeth Z\u00fan\u0342iga","raw_affiliation_strings":["LaMME - Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'Evry (IBGBI, 23 boulevard de France\r\n91037 Evry - France)"],"affiliations":[{"raw_affiliation_string":"LaMME - Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'Evry (IBGBI, 23 boulevard de France\r\n91037 Evry - France)","institution_ids":["https://openalex.org/I4210155549","https://openalex.org/I4387153769"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5029470908"],"corresponding_institution_ids":["https://openalex.org/I4210155549","https://openalex.org/I4387153769"],"apc_list":null,"apc_paid":null,"fwci":2.0317,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.86594374,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"13","issue":"2","first_page":"426","last_page":"458"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"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":0.9994000196456909,"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":0.9273999929428101,"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":0.9254999756813049,"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/heston-model","display_name":"Heston model","score":0.8290778398513794},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6082525253295898},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6016966104507446},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5874268412590027},{"id":"https://openalex.org/keywords/volterra-integral-equation","display_name":"Volterra integral equation","score":0.5287026166915894},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5125810503959656},{"id":"https://openalex.org/keywords/kernel","display_name":"Kernel (algebra)","score":0.48424503207206726},{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.48274463415145874},{"id":"https://openalex.org/keywords/affine-transformation","display_name":"Affine transformation","score":0.44814133644104004},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.34355485439300537},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.29814404249191284},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19149401783943176},{"id":"https://openalex.org/keywords/integral-equation","display_name":"Integral equation","score":0.13077205419540405},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.126643568277359},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.09204602241516113}],"concepts":[{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.8290778398513794},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6082525253295898},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6016966104507446},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5874268412590027},{"id":"https://openalex.org/C21965488","wikidata":"https://www.wikidata.org/wiki/Q2632613","display_name":"Volterra integral equation","level":3,"score":0.5287026166915894},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5125810503959656},{"id":"https://openalex.org/C74193536","wikidata":"https://www.wikidata.org/wiki/Q574844","display_name":"Kernel (algebra)","level":2,"score":0.48424503207206726},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.48274463415145874},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.44814133644104004},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.34355485439300537},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.29814404249191284},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19149401783943176},{"id":"https://openalex.org/C27016315","wikidata":"https://www.wikidata.org/wiki/Q580101","display_name":"Integral equation","level":2,"score":0.13077205419540405},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.126643568277359},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.09204602241516113},{"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/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/21m140674x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m140674x","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:HAL:hal-03178306v3","is_oa":true,"landing_page_url":"https://hal.science/hal-03178306","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://doi.org/10.1137/21M140674X","raw_type":"Journal articles"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-03178306v3","is_oa":true,"landing_page_url":"https://hal.science/hal-03178306","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://doi.org/10.1137/21M140674X","raw_type":"Journal articles"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320324478","display_name":"Fondation Math\u00e9matique Jacques Hadamard","ror":"https://ror.org/0153me927"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W1484437014","https://openalex.org/W1502367340","https://openalex.org/W1890880943","https://openalex.org/W2028867268","https://openalex.org/W2049874151","https://openalex.org/W2064978316","https://openalex.org/W2109082027","https://openalex.org/W2126311658","https://openalex.org/W2522906556","https://openalex.org/W2595720639","https://openalex.org/W2605513858","https://openalex.org/W2903602584","https://openalex.org/W2941544531","https://openalex.org/W2944355550","https://openalex.org/W2948664166","https://openalex.org/W2959813831","https://openalex.org/W2962747399","https://openalex.org/W2962802749","https://openalex.org/W2963026153","https://openalex.org/W2963562494","https://openalex.org/W2963615834","https://openalex.org/W2963618697","https://openalex.org/W2964017799","https://openalex.org/W2971552046","https://openalex.org/W2980737890","https://openalex.org/W2988715886","https://openalex.org/W3003677889","https://openalex.org/W3004078633","https://openalex.org/W3021131124","https://openalex.org/W3027941267","https://openalex.org/W3041812180","https://openalex.org/W3047082415","https://openalex.org/W3096355167","https://openalex.org/W3098958388","https://openalex.org/W3121590639","https://openalex.org/W3122079210","https://openalex.org/W3123031429","https://openalex.org/W3124875579","https://openalex.org/W3125017247","https://openalex.org/W3125185568","https://openalex.org/W3126083004","https://openalex.org/W3126418904","https://openalex.org/W3135707115","https://openalex.org/W3176021757"],"related_works":["https://openalex.org/W2803749326","https://openalex.org/W2777639970","https://openalex.org/W3122863754","https://openalex.org/W4295294818","https://openalex.org/W1852351394","https://openalex.org/W3126064821","https://openalex.org/W1491092204","https://openalex.org/W3123344415","https://openalex.org/W3124173719","https://openalex.org/W4386876230"],"abstract_inverted_index":{"We":[0,12,23,86],"price":[1,77],"American":[2,28,98],"options":[3],"using":[4],"kernel-based":[5],"approximations":[6,15],"of":[7,27,35,57,74,82,97,106],"the":[8,25,32,38,41,49,54,58,70,75,83,95,107],"Volterra":[9,42],"Heston":[10,43],"model.":[11,44,108],"choose":[13],"these":[14],"because":[16],"they":[17],"allow":[18],"simulation-based":[19],"techniques":[20],"for":[21,69],"pricing.":[22],"prove":[24],"convergence":[26,67,92],"option":[29,99],"prices":[30,39,100],"in":[31,40,48,60],"approximating":[33],"sequence":[34],"models":[36],"towards":[37],"A":[45],"crucial":[46],"step":[47],"proof":[50],"is":[51],"to":[52,62,103],"exploit":[53],"affine":[55],"structure":[56],"model":[59],"order":[61],"establish":[63],"explicit":[64],"formulas":[65],"and":[66,78,94],"results":[68],"conditional":[71],"Fourier--Laplace":[72],"transform":[73],"log":[76],"an":[79],"adjusted":[80],"version":[81],"forward":[84],"variance.":[85],"illustrate":[87],"with":[88,101],"numerical":[89],"examples":[90],"our":[91],"result":[93],"behavior":[96],"respect":[102],"certain":[104],"parameters":[105]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}