{"id":"https://openalex.org/W4412146631","doi":"https://doi.org/10.1137/23m1621241","title":"Explicit Option Pricing with Additive Processes","display_name":"Explicit Option Pricing with Additive Processes","publication_year":2025,"publication_date":"2025-07-10","ids":{"openalex":"https://openalex.org/W4412146631","doi":"https://doi.org/10.1137/23m1621241"},"language":"en","primary_location":{"id":"doi:10.1137/23m1621241","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1621241","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/A5062594002","display_name":"Michele Azzone","orcid":"https://orcid.org/0000-0002-0517-796X"},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Michele Azzone","raw_affiliation_strings":["Department of Mathematics, Politecnico di Milano, Milan, Mi 20133, Italy"],"raw_orcid":"https://orcid.org/0000-0002-0517-796X","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Politecnico di Milano, Milan, Mi 20133, Italy","institution_ids":["https://openalex.org/I93860229"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5062123828","display_name":"Lorenzo Torricelli","orcid":"https://orcid.org/0000-0002-7419-2119"},"institutions":[{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Lorenzo Torricelli","raw_affiliation_strings":["Department of Statistical Sciences \u201cP. Fortunati,\u201d University of Bologna, Bologna, BO 40126, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences \u201cP. Fortunati,\u201d University of Bologna, Bologna, BO 40126, Italy","institution_ids":["https://openalex.org/I9360294"]}]}],"institutions":[],"countries_distinct_count":1,"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":0.1959728,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"16","issue":"3","first_page":"747","last_page":"802"},"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.968500018119812,"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":0.9526000022888184,"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/valuation-of-options","display_name":"Valuation of options","score":0.5591400861740112},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.45386624336242676},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.4366021156311035},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4323248267173767},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.41032010316848755},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.35096776485443115},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3504185676574707},{"id":"https://openalex.org/keywords/rational-pricing","display_name":"Rational pricing","score":0.34878507256507874},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.22434288263320923}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5591400861740112},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.45386624336242676},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.4366021156311035},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4323248267173767},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41032010316848755},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.35096776485443115},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3504185676574707},{"id":"https://openalex.org/C159998540","wikidata":"https://www.wikidata.org/wiki/Q7295776","display_name":"Rational pricing","level":3,"score":0.34878507256507874},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.22434288263320923}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/23m1621241","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1621241","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:cris.unibo.it:11585/1020854","is_oa":false,"landing_page_url":"https://hdl.handle.net/11585/1020854","pdf_url":null,"source":{"id":"https://openalex.org/S4306402579","display_name":"Archivio istituzionale della ricerca (Alma Mater Studiorum Universit\u00e0 di Bologna)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210117483","host_organization_name":"Istituto di Ematologia di Bologna","host_organization_lineage":["https://openalex.org/I4210117483"],"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":"info:eu-repo/semantics/article"},{"id":"pmh:oai:re.public.polimi.it:11311/1299035","is_oa":false,"landing_page_url":"https://hdl.handle.net/11311/1299035","pdf_url":null,"source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"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":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320323553","display_name":"Universit\u00e0 di Bologna","ror":"https://ror.org/01111rn36"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":66,"referenced_works":["https://openalex.org/W24125945","https://openalex.org/W143238527","https://openalex.org/W297795963","https://openalex.org/W1502367340","https://openalex.org/W1542274658","https://openalex.org/W1969763686","https://openalex.org/W1974832466","https://openalex.org/W1994665315","https://openalex.org/W2030525059","https://openalex.org/W2030759821","https://openalex.org/W2034241492","https://openalex.org/W2035634439","https://openalex.org/W2036294594","https://openalex.org/W2039661648","https://openalex.org/W2044022306","https://openalex.org/W2054215596","https://openalex.org/W2058270722","https://openalex.org/W2064978316","https://openalex.org/W2065690121","https://openalex.org/W2067602260","https://openalex.org/W2081737007","https://openalex.org/W2111648184","https://openalex.org/W2115955898","https://openalex.org/W2125862561","https://openalex.org/W2127998573","https://openalex.org/W2134988741","https://openalex.org/W2136243007","https://openalex.org/W2141361079","https://openalex.org/W2146840878","https://openalex.org/W2148334170","https://openalex.org/W2150163453","https://openalex.org/W2155066603","https://openalex.org/W2169891779","https://openalex.org/W2171077583","https://openalex.org/W2216825853","https://openalex.org/W2239185238","https://openalex.org/W2314640094","https://openalex.org/W2338681524","https://openalex.org/W2412572825","https://openalex.org/W2522906556","https://openalex.org/W2544557490","https://openalex.org/W2963281314","https://openalex.org/W2963562494","https://openalex.org/W2972691140","https://openalex.org/W3036115538","https://openalex.org/W3041854451","https://openalex.org/W3092473301","https://openalex.org/W3094352506","https://openalex.org/W3098444010","https://openalex.org/W3101714332","https://openalex.org/W3113221786","https://openalex.org/W3122814119","https://openalex.org/W3123241629","https://openalex.org/W3123605164","https://openalex.org/W3123626266","https://openalex.org/W3124875579","https://openalex.org/W3124960685","https://openalex.org/W3125145202","https://openalex.org/W3125732723","https://openalex.org/W3151239732","https://openalex.org/W3196590914","https://openalex.org/W4293092461","https://openalex.org/W4301681175","https://openalex.org/W4319834457","https://openalex.org/W4381988108","https://openalex.org/W4399506638"],"related_works":["https://openalex.org/W3201761445","https://openalex.org/W2909024759","https://openalex.org/W2902898608","https://openalex.org/W2360464933","https://openalex.org/W224486115","https://openalex.org/W4387382185","https://openalex.org/W2359153536","https://openalex.org/W4387382206","https://openalex.org/W2483316594","https://openalex.org/W1420701789"],"abstract_inverted_index":{"We":[0,125],"propose":[1],"a":[2],"fully":[3],"explicit":[4,47,120,129],"and":[5,29,31,57,67],"empirically":[6],"sound":[7],"option":[8,121],"pricing":[9,22,122],"model":[10,16],"based":[11],"on":[12],"additive":[13,130],"processes.":[14],"The":[15,46,103],"yields":[17],"analytic":[18],"closed":[19],"formulae":[20],"for":[21,49],"vanilla":[23,151],"options,":[24],"is":[25,109],"easy":[26],"to":[27,94,113],"calibrate":[28],"simulate,":[30],"it":[32],"fits":[33],"very":[34],"well":[35,69],"the":[36,63,99,137],"market":[37],"implied":[38,64,80,100],"volatility":[39,65,81,101],"at":[40],"an":[41],"extremely":[42],"low":[43],"computational":[44],"cost.":[45],"expressions":[48],"commonly":[50],"traded":[51],"products":[52],"imply":[53],"that":[54,128],"both":[55],"large":[56,71],"small":[58],"maturity":[59],"leading":[60,93],"orders":[61],"of":[62,79,98,106,136,150,160],"level":[66],"skew---as":[68],"as":[70],"strike":[72],"asymptotics---can":[73],"be":[74,85,134,154],"determined":[75,156],"exactly.":[76],"A":[77],"plethora":[78],"shapes":[82],"can":[83,153],"thus":[84],"reproduced":[86],"by":[87,142,157],"just":[88],"supplying":[89],"appropriate":[90],"term":[91],"functions,":[92],"nearly":[95],"complete":[96],"control":[97],"surface.":[102],"methodological":[104],"implication":[105],"our":[107],"study":[108],"that,":[110],"in":[111],"contrast":[112],"widespread":[114],"belief,":[115],"realistic":[116],"continuous-time":[117],"models":[118,131],"allowing":[119],"do":[123],"exist.":[124],"finally":[126],"argue":[127],"need":[132],"not":[133],"only":[135],"proposed":[138],"Beta":[139],"type,":[140],"but":[141],"taking":[143],"into":[144],"account":[145],"skew":[146],"generation":[147],"mechanisms,":[148],"analyticity":[149],"prices":[152],"potentially":[155],"other":[158],"kinds":[159],"distributions.":[161]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-07-10T00:00:00"}