{"id":"https://openalex.org/W2068532961","doi":"https://doi.org/10.1137/s0036139902420043","title":"Singular Perturbations for Boundary Value Problems Arising from Exotic Options","display_name":"Singular Perturbations for Boundary Value Problems Arising from Exotic Options","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W2068532961","doi":"https://doi.org/10.1137/s0036139902420043","mag":"2068532961"},"language":"en","primary_location":{"id":"doi:10.1137/s0036139902420043","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0036139902420043","pdf_url":null,"source":{"id":"https://openalex.org/S77200987","display_name":"SIAM Journal on Applied Mathematics","issn_l":"0036-1399","issn":["0036-1399","1095-712X"],"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 Applied 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/A5090466901","display_name":"Ayta\u00e7 \u0130lhan","orcid":null},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Aytac Ilhan","raw_affiliation_strings":["Princeton University#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University#TAB#","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5023036695","display_name":"Mattias J\u00f6nsson","orcid":"https://orcid.org/0000-0001-8488-9035"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mattias Jonsson","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5039402165","display_name":"Ronnie Sircar","orcid":null},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ronnie Sircar","raw_affiliation_strings":["Princeton University#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University#TAB#","institution_ids":["https://openalex.org/I20089843"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.0876,"has_fulltext":false,"cited_by_count":29,"citation_normalized_percentile":{"value":0.89071927,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"64","issue":"4","first_page":"1268","last_page":"1293"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998999834060669,"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":0.9998999834060669,"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":0.9957000017166138,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9749000072479248,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.5897380113601685},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5611422061920166},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5566412806510925},{"id":"https://openalex.org/keywords/singular-perturbation","display_name":"Singular perturbation","score":0.5515390634536743},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5422859787940979},{"id":"https://openalex.org/keywords/exotic-option","display_name":"Exotic option","score":0.520675778388977},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5172730088233948},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.46581482887268066},{"id":"https://openalex.org/keywords/barrier-option","display_name":"Barrier option","score":0.4475402235984802},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.43869760632514954},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.42148903012275696},{"id":"https://openalex.org/keywords/asymptotic-expansion","display_name":"Asymptotic expansion","score":0.4103228747844696},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4094898998737335},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.36606618762016296},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.32521575689315796},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3145103454589844},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.28621894121170044},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2448948621749878}],"concepts":[{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.5897380113601685},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5611422061920166},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5566412806510925},{"id":"https://openalex.org/C165160513","wikidata":"https://www.wikidata.org/wiki/Q7524249","display_name":"Singular perturbation","level":2,"score":0.5515390634536743},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5422859787940979},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.520675778388977},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5172730088233948},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.46581482887268066},{"id":"https://openalex.org/C2776631005","wikidata":"https://www.wikidata.org/wiki/Q808919","display_name":"Barrier option","level":2,"score":0.4475402235984802},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.43869760632514954},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.42148903012275696},{"id":"https://openalex.org/C11683690","wikidata":"https://www.wikidata.org/wiki/Q752726","display_name":"Asymptotic expansion","level":2,"score":0.4103228747844696},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4094898998737335},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.36606618762016296},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.32521575689315796},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3145103454589844},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.28621894121170044},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2448948621749878},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/s0036139902420043","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0036139902420043","pdf_url":null,"source":{"id":"https://openalex.org/S77200987","display_name":"SIAM Journal on Applied Mathematics","issn_l":"0036-1399","issn":["0036-1399","1095-712X"],"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 Applied Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.15.7910","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.15.7910","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.princeton.edu/%7Esircar/Public/ARTICLES/bvps.pdf","raw_type":"text"},{"id":"pmh:oai:bibcyt.ucla.edu.ve:T070300013504/11","is_oa":false,"landing_page_url":"http://bibcyt.ucla.edu.ve/cgi-win/be_alex.exe?Acceso=T070300013504/11&Nombrebd=Bciucla","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.4399999976158142}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W177587320","https://openalex.org/W1514815886","https://openalex.org/W1558904529","https://openalex.org/W1579493056","https://openalex.org/W1965658608","https://openalex.org/W1973946491","https://openalex.org/W1977153352","https://openalex.org/W1993870237","https://openalex.org/W2009548095","https://openalex.org/W2009841254","https://openalex.org/W2056257481","https://openalex.org/W2060584474","https://openalex.org/W2064978316","https://openalex.org/W2065242466","https://openalex.org/W2083685602","https://openalex.org/W2084083498","https://openalex.org/W2098612888","https://openalex.org/W2112418185","https://openalex.org/W2117019869","https://openalex.org/W2125902422","https://openalex.org/W2129220488","https://openalex.org/W2148080284","https://openalex.org/W2150066941","https://openalex.org/W2568504007","https://openalex.org/W2615169754","https://openalex.org/W3121755837","https://openalex.org/W3123321876","https://openalex.org/W3125666236","https://openalex.org/W4245671988"],"related_works":["https://openalex.org/W2030629250","https://openalex.org/W1753084563","https://openalex.org/W2056972995","https://openalex.org/W2517505499","https://openalex.org/W3137496709","https://openalex.org/W2218290098","https://openalex.org/W2560607161","https://openalex.org/W1533362883","https://openalex.org/W2171691643","https://openalex.org/W2068532961"],"abstract_inverted_index":{"We":[0],"study":[1],"the":[2,24,36,62,67,87,90,93,111],"pricing":[3],"of":[4,26,31,70,89,113],"three":[5],"exotic":[6],"derivative":[7],"securities":[8],"(barrier,":[9],"lookback,":[10],"and":[11,46,106],"passport":[12,91],"options)":[13],"which":[14],"can":[15],"be":[16],"characterized":[17],"by":[18,76],"boundary":[19,78],"value":[20],"PDE":[21],"problems":[22],"in":[23,41,51,98,103,110],"context":[25],"popular":[27],"Markovian":[28],"SV":[29,101],"models":[30],"stock":[32],"prices.":[33],"By":[34],"extending":[35],"fast":[37],"mean-reverting":[38],"asymptotic":[39,94],"analysis":[40],"[J.-P.":[42],"Fouque,":[43],"G.":[44],"Papanicolaou,":[45],"K.":[47],"R.":[48],"Sircar,":[49],"Derivatives":[50],"Financial":[52],"Markets":[53],"with":[54],"Stochastic":[55],"Volatility,":[56],"Cambridge":[57],"University":[58],"Press,":[59],"London,":[60],"2000],":[61],"usual":[63],"\"Greek\"":[64],"correction":[65],"to":[66],"Black--Scholes":[68],"prices":[69],"these":[71],"contracts":[72],"is":[73,82,96],"further":[74],"corrected":[75],"a":[77,104,114],"integral":[79],"term":[80],"that":[81],"rapidly":[83],"computed":[84],"numerically.":[85],"In":[86],"case":[88],"option,":[92],"method":[95],"effective":[97],"accounting":[99],"for":[100],"effects":[102],"simple":[105],"robust":[107],"fashion":[108],"even":[109],"presence":[112],"highly":[115],"nonlinear":[116],"embedded":[117],"stochastic":[118],"control":[119],"problem.":[120]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":5}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}