{"id":"https://openalex.org/W2143455786","doi":"https://doi.org/10.1155/2007/62098","title":"Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach","display_name":"Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W2143455786","doi":"https://doi.org/10.1155/2007/62098","mag":"2143455786"},"language":"en","primary_location":{"id":"doi:10.1155/2007/62098","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2007/62098","pdf_url":"https://downloads.hindawi.com/journals/jam/2007/062098.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://downloads.hindawi.com/journals/jam/2007/062098.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056028015","display_name":"Marianito R. Rodrigo","orcid":"https://orcid.org/0000-0003-1872-3904"},"institutions":[{"id":"https://openalex.org/I187481652","display_name":"Instituto Tecnol\u00f3gico Aut\u00f3nomo de M\u00e9xico","ror":"https://ror.org/029md1766","country_code":"MX","type":"education","lineage":["https://openalex.org/I187481652"]},{"id":"https://openalex.org/I204824540","display_name":"University of Wollongong","ror":"https://ror.org/00jtmb277","country_code":"AU","type":"education","lineage":["https://openalex.org/I204824540"]}],"countries":["AU","MX"],"is_corresponding":true,"raw_author_name":"Marianito R. Rodrigo","raw_affiliation_strings":["Departamento Acad\u00e9mico de Matem\u00e1ticas, Instituto Tecnol\u00f3gico Aut\u00f3nomo de M\u00e9xico, Mexico","University of Wollongong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Departamento Acad\u00e9mico de Matem\u00e1ticas, Instituto Tecnol\u00f3gico Aut\u00f3nomo de M\u00e9xico, Mexico","institution_ids":["https://openalex.org/I187481652"]},{"raw_affiliation_string":"University of Wollongong","institution_ids":["https://openalex.org/I204824540"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010674696","display_name":"Rogemar Mamon","orcid":"https://orcid.org/0000-0003-0885-7685"},"institutions":[{"id":"https://openalex.org/I125749732","display_name":"Western University","ror":"https://ror.org/02grkyz14","country_code":"CA","type":"education","lineage":["https://openalex.org/I125749732"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Rogemar S. Mamon","raw_affiliation_strings":["Department of Statistical and Actuarial Sciences, University of Western Ontario, Canada","University of Western Ontario"],"raw_orcid":"https://orcid.org/0000-0003-0885-7685","affiliations":[{"raw_affiliation_string":"Department of Statistical and Actuarial Sciences, University of Western Ontario, Canada","institution_ids":["https://openalex.org/I125749732"]},{"raw_affiliation_string":"University of Western Ontario","institution_ids":["https://openalex.org/I125749732"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5056028015"],"corresponding_institution_ids":["https://openalex.org/I187481652","https://openalex.org/I204824540"],"apc_list":{"value":1025,"currency":"USD","value_usd":1025},"apc_paid":{"value":1025,"currency":"USD","value_usd":1025},"fwci":0.4266,"has_fulltext":true,"cited_by_count":6,"citation_normalized_percentile":{"value":0.74627416,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"2007","issue":null,"first_page":"1","last_page":"8"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973999857902527,"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":0.9973999857902527,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9710000157356262,"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"}},{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9675999879837036,"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/riemann\u2013stieltjes-integral","display_name":"Riemann\u2013Stieltjes integral","score":0.7386646270751953},{"id":"https://openalex.org/keywords/inverse","display_name":"Inverse","score":0.6849435567855835},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6689552068710327},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.6403207182884216},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.62623131275177},{"id":"https://openalex.org/keywords/type","display_name":"Type (biology)","score":0.5940888524055481},{"id":"https://openalex.org/keywords/inverse-problem","display_name":"Inverse problem","score":0.5465445518493652},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.47481951117515564},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3590972423553467},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.3390960693359375},{"id":"https://openalex.org/keywords/integral-equation","display_name":"Integral equation","score":0.17716333270072937},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.10814625024795532},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.07797703146934509},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.061393290758132935},{"id":"https://openalex.org/keywords/classical-mechanics","display_name":"Classical mechanics","score":0.055219829082489014},{"id":"https://openalex.org/keywords/geology","display_name":"Geology","score":0.04607659578323364}],"concepts":[{"id":"https://openalex.org/C167211080","wikidata":"https://www.wikidata.org/wiki/Q285771","display_name":"Riemann\u2013Stieltjes integral","level":3,"score":0.7386646270751953},{"id":"https://openalex.org/C207467116","wikidata":"https://www.wikidata.org/wiki/Q4385666","display_name":"Inverse","level":2,"score":0.6849435567855835},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6689552068710327},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.6403207182884216},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.62623131275177},{"id":"https://openalex.org/C2777299769","wikidata":"https://www.wikidata.org/wiki/Q3707858","display_name":"Type (biology)","level":2,"score":0.5940888524055481},{"id":"https://openalex.org/C135252773","wikidata":"https://www.wikidata.org/wiki/Q1567213","display_name":"Inverse problem","level":2,"score":0.5465445518493652},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.47481951117515564},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3590972423553467},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.3390960693359375},{"id":"https://openalex.org/C27016315","wikidata":"https://www.wikidata.org/wiki/Q580101","display_name":"Integral equation","level":2,"score":0.17716333270072937},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.10814625024795532},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07797703146934509},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.061393290758132935},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.055219829082489014},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.04607659578323364},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1155/2007/62098","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2007/62098","pdf_url":"https://downloads.hindawi.com/journals/jam/2007/062098.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:ro.uow.edu.au:eispapers-2874","is_oa":false,"landing_page_url":"https://ro.uow.edu.au/eispapers/1865","pdf_url":null,"source":{"id":"https://openalex.org/S4306400510","display_name":"Research Online (University of Wollongong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I204824540","host_organization_name":"University of Wollongong","host_organization_lineage":["https://openalex.org/I204824540"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Faculty of Engineering and Information Sciences - Papers: Part A","raw_type":"article"},{"id":"pmh:oai:CULeuclid:euclid.jam/1204126688","is_oa":false,"landing_page_url":"http://projecteuclid.org/euclid.jam/1204126688","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"pmh:oai:doaj.org/article:2a134433ea3942ff9050c884852cef4f","is_oa":true,"landing_page_url":"https://doaj.org/article/2a134433ea3942ff9050c884852cef4f","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Applied Mathematics, Vol 2007 (2007)","raw_type":"article"},{"id":"pmh:oai:figshare.com:article/27762951","is_oa":true,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.1155/2007/62098","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2007/62098","pdf_url":"https://downloads.hindawi.com/journals/jam/2007/062098.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2143455786.pdf","grobid_xml":"https://content.openalex.org/works/W2143455786.grobid-xml"},"referenced_works_count":9,"referenced_works":["https://openalex.org/W33494981","https://openalex.org/W1517022795","https://openalex.org/W1977629275","https://openalex.org/W2077791698","https://openalex.org/W2083229504","https://openalex.org/W2469039019","https://openalex.org/W2476843405","https://openalex.org/W2482326110","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2555414267","https://openalex.org/W52186027","https://openalex.org/W4224324299","https://openalex.org/W1642820485","https://openalex.org/W1964012424","https://openalex.org/W2767347720","https://openalex.org/W4288601857","https://openalex.org/W2185455390","https://openalex.org/W2162227632","https://openalex.org/W2913455937"],"abstract_inverted_index":{"We":[0],"show":[1],"that":[2],"the":[3,7,28,35,38],"problem":[4,29],"of":[5,10,13,30,48],"recovering":[6],"time-dependent":[8],"parameters":[9,40],"an":[11,20],"equation":[12],"Black-Scholes":[14],"type":[15],"can":[16],"be":[17],"formulated":[18],"as":[19],"inverse":[21],"Stieltjes":[22],"moment":[23],"problem.":[24],"An":[25],"application":[26],"to":[27],"implied":[31],"volatility":[32],"calculation":[33],"in":[34],"case":[36],"when":[37],"model":[39],"are":[41,51],"time":[42],"varying":[43],"is":[44],"provided":[45],"and":[46],"results":[47],"numerical":[49],"simulations":[50],"presented.":[52]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2016-06-24T00:00:00"}