{"id":"https://openalex.org/W2016653036","doi":"https://doi.org/10.1155/2009/215163","title":"Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model","display_name":"Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model","publication_year":2009,"publication_date":"2009-06-07","ids":{"openalex":"https://openalex.org/W2016653036","doi":"https://doi.org/10.1155/2009/215163","mag":"2016653036"},"language":"en","primary_location":{"id":"doi:10.1155/2009/215163","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2009/215163","pdf_url":"https://downloads.hindawi.com/archive/2009/215163.pdf","source":{"id":"https://openalex.org/S187318915","display_name":"Journal of Applied Mathematics and Decision Sciences","issn_l":"1173-9126","issn":["1173-9126","1532-7612"],"is_oa":false,"is_in_doaj":false,"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 and Decision Sciences","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://downloads.hindawi.com/archive/2009/215163.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5069324200","display_name":"Guoan Huang","orcid":null},"institutions":[{"id":"https://openalex.org/I3129996945","display_name":"Guilin University of Aerospace Technology","ror":"https://ror.org/00h1gc758","country_code":"CN","type":"education","lineage":["https://openalex.org/I3129996945"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Guoan Huang","raw_affiliation_strings":["Department of Computer Science, Guilin College of Aerospace Technology, Guilin 541004, China"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, Guilin College of Aerospace Technology, Guilin 541004, China","institution_ids":["https://openalex.org/I3129996945"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5050474889","display_name":"Guohe Deng","orcid":"https://orcid.org/0000-0002-9344-5193"},"institutions":[{"id":"https://openalex.org/I29739308","display_name":"Guangxi Normal University","ror":"https://ror.org/02frt9q65","country_code":"CN","type":"education","lineage":["https://openalex.org/I29739308"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Guohe Deng","raw_affiliation_strings":["School of Mathematics Science, Guangxi Normal University, Guilin 541004, China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics Science, Guangxi Normal University, Guilin 541004, China","institution_ids":["https://openalex.org/I29739308"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101910473","display_name":"Lihong Huang","orcid":"https://orcid.org/0000-0001-8691-5532"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Lihong Huang","raw_affiliation_strings":["College of Mathematics and Econometrics, Hunan University, Changsha 410082, China","College of Mathematics and Econometrics, Hunan University, Changsha 410082,China"],"affiliations":[{"raw_affiliation_string":"College of Mathematics and Econometrics, Hunan University, Changsha 410082, China","institution_ids":["https://openalex.org/I16609230"]},{"raw_affiliation_string":"College of Mathematics and Econometrics, Hunan University, Changsha 410082,China","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5050474889"],"corresponding_institution_ids":["https://openalex.org/I29739308"],"apc_list":null,"apc_paid":null,"fwci":0.3658,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.71458968,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"2009","issue":null,"first_page":"1","last_page":"11"},"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":0.9488000273704529,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9262999892234802,"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/vasicek-model","display_name":"Vasicek model","score":0.9843530654907227},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.6670991778373718},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.6255676746368408},{"id":"https://openalex.org/keywords/bond-valuation","display_name":"Bond valuation","score":0.595777153968811},{"id":"https://openalex.org/keywords/short-rate-model","display_name":"Short-rate model","score":0.5029653906822205},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.500596284866333},{"id":"https://openalex.org/keywords/short-rate","display_name":"Short rate","score":0.4738081991672516},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.4673944413661957},{"id":"https://openalex.org/keywords/put-option","display_name":"Put option","score":0.44430363178253174},{"id":"https://openalex.org/keywords/quadrature","display_name":"Quadrature (astronomy)","score":0.4217841625213623},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.39375215768814087},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.38615697622299194},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.374336302280426},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3465585708618164},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.32250285148620605},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2694063186645508},{"id":"https://openalex.org/keywords/yield-curve","display_name":"Yield curve","score":0.20786252617835999},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.19212457537651062},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.135788232088089}],"concepts":[{"id":"https://openalex.org/C201608381","wikidata":"https://www.wikidata.org/wiki/Q2331759","display_name":"Vasicek model","level":3,"score":0.9843530654907227},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.6670991778373718},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.6255676746368408},{"id":"https://openalex.org/C32959826","wikidata":"https://www.wikidata.org/wiki/Q2361268","display_name":"Bond valuation","level":3,"score":0.595777153968811},{"id":"https://openalex.org/C93246554","wikidata":"https://www.wikidata.org/wiki/Q4162534","display_name":"Short-rate model","level":3,"score":0.5029653906822205},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.500596284866333},{"id":"https://openalex.org/C54775282","wikidata":"https://www.wikidata.org/wiki/Q7502071","display_name":"Short rate","level":4,"score":0.4738081991672516},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.4673944413661957},{"id":"https://openalex.org/C2778311368","wikidata":"https://www.wikidata.org/wiki/Q1939618","display_name":"Put option","level":2,"score":0.44430363178253174},{"id":"https://openalex.org/C62869609","wikidata":"https://www.wikidata.org/wiki/Q28137","display_name":"Quadrature (astronomy)","level":2,"score":0.4217841625213623},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.39375215768814087},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.38615697622299194},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.374336302280426},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3465585708618164},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.32250285148620605},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2694063186645508},{"id":"https://openalex.org/C176230804","wikidata":"https://www.wikidata.org/wiki/Q205257","display_name":"Yield curve","level":3,"score":0.20786252617835999},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.19212457537651062},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.135788232088089},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C119599485","wikidata":"https://www.wikidata.org/wiki/Q43035","display_name":"Electrical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1155/2009/215163","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2009/215163","pdf_url":"https://downloads.hindawi.com/archive/2009/215163.pdf","source":{"id":"https://openalex.org/S187318915","display_name":"Journal of Applied Mathematics and Decision Sciences","issn_l":"1173-9126","issn":["1173-9126","1532-7612"],"is_oa":false,"is_in_doaj":false,"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 and Decision Sciences","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:1089a907f27d4546aeb855b82128ff6f","is_oa":true,"landing_page_url":"https://doaj.org/article/1089a907f27d4546aeb855b82128ff6f","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 and Decision Sciences, Vol 2009 (2009)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1155/2009/215163","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2009/215163","pdf_url":"https://downloads.hindawi.com/archive/2009/215163.pdf","source":{"id":"https://openalex.org/S187318915","display_name":"Journal of Applied Mathematics and Decision Sciences","issn_l":"1173-9126","issn":["1173-9126","1532-7612"],"is_oa":false,"is_in_doaj":false,"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 and Decision Sciences","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2087396116","display_name":null,"funder_award_id":"China","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3317480652","display_name":null,"funder_award_id":"Science","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5626363339","display_name":null,"funder_award_id":"40675023","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5994120800","display_name":null,"funder_award_id":"Natural","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G8312891188","display_name":null,"funder_award_id":"0991091","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320322768","display_name":"Natural Science Foundation of Guangxi Province","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2016653036.pdf","grobid_xml":"https://content.openalex.org/works/W2016653036.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W192309130","https://openalex.org/W1975527087","https://openalex.org/W1980798056","https://openalex.org/W1982317268","https://openalex.org/W1996665651","https://openalex.org/W2005558064","https://openalex.org/W2015378169","https://openalex.org/W2044728023","https://openalex.org/W2046733933","https://openalex.org/W2076057077","https://openalex.org/W2101984270","https://openalex.org/W2119299497","https://openalex.org/W2140460002","https://openalex.org/W2150792830","https://openalex.org/W2151078973","https://openalex.org/W2338681524","https://openalex.org/W4239629266"],"related_works":["https://openalex.org/W3122625347","https://openalex.org/W2017626383","https://openalex.org/W2199505153","https://openalex.org/W2236554471","https://openalex.org/W3121770831","https://openalex.org/W1965954226","https://openalex.org/W2375459580","https://openalex.org/W2372977397","https://openalex.org/W3125467054","https://openalex.org/W2016653036"],"abstract_inverted_index":{"The":[0],"valuation":[1],"for":[2],"an":[3],"American":[4],"continuous-installment":[5],"put":[6],"option":[7],"on":[8],"zero-coupon":[9],"bond":[10],"is":[11,55],"considered":[12],"by":[13,65],"Kim's":[14],"equations":[15],"under":[16],"a":[17],"single":[18],"factor":[19],"model":[20],"of":[21,34,37,42],"the":[22,28,35,44,59],"short-term":[23],"interest":[24],"rate,":[25],"which":[26],"follows":[27],"famous":[29],"Vasicek":[30],"model.":[31],"In":[32],"term":[33],"price":[36],"this":[38],"option,":[39],"integral":[40],"representations":[41],"both":[43],"optimal":[45,60],"stopping":[46,61],"and":[47,62,70],"exercise":[48,63],"boundaries":[49,64],"are":[50,72],"derived.":[51],"A":[52],"numerical":[53],"method":[54],"used":[56],"to":[57],"approximate":[58],"quadrature":[66],"formulas.":[67],"Numerical":[68],"results":[69],"discussions":[71],"provided.":[73]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-04-18T07:56:08.524223","created_date":"2025-10-10T00:00:00"}