{"id":"https://openalex.org/W2115539870","doi":"https://doi.org/10.1155/s1173912699000048","title":"Some applications of occupation times of Brownian motion withdrift in mathematical finance","display_name":"Some applications of occupation times of Brownian motion withdrift in mathematical finance","publication_year":1999,"publication_date":"1999-01-01","ids":{"openalex":"https://openalex.org/W2115539870","doi":"https://doi.org/10.1155/s1173912699000048","mag":"2115539870"},"language":"en","primary_location":{"id":"doi:10.1155/s1173912699000048","is_oa":true,"landing_page_url":"https://doi.org/10.1155/s1173912699000048","pdf_url":"https://downloads.hindawi.com/archive/1999/181404.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"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://downloads.hindawi.com/archive/1999/181404.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5034626596","display_name":"Andreas Pechtl","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Andreas Pechtl","raw_affiliation_strings":["Center of Asset Pricing and Financial Products Development, Deutsche Genossenschaftsbank Frankfurt am Main, Am Platz der Republik, Frankfurt am Main D\u201360325, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center of Asset Pricing and Financial Products Development, Deutsche Genossenschaftsbank Frankfurt am Main, Am Platz der Republik, Frankfurt am Main D\u201360325, Germany","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5034626596"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.4369,"has_fulltext":true,"cited_by_count":16,"citation_normalized_percentile":{"value":0.74463313,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"3","issue":"1","first_page":"63","last_page":"73"},"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9835000038146973,"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":0.9729999899864197,"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/portfolio","display_name":"Portfolio","score":0.6324621438980103},{"id":"https://openalex.org/keywords/range","display_name":"Range (aeronautics)","score":0.6015956401824951},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.5552988648414612},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.5492475032806396},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.5315890908241272},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.46253517270088196},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.46121537685394287},{"id":"https://openalex.org/keywords/type","display_name":"Type (biology)","score":0.44276708364486694},{"id":"https://openalex.org/keywords/simple","display_name":"Simple (philosophy)","score":0.4252014756202698},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4214118421077728},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.41760382056236267},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.39913102984428406},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.38203269243240356},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2851448655128479},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.13045454025268555},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1142517626285553},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.1005009114742279},{"id":"https://openalex.org/keywords/geology","display_name":"Geology","score":0.07537305355072021}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6324621438980103},{"id":"https://openalex.org/C204323151","wikidata":"https://www.wikidata.org/wiki/Q905424","display_name":"Range (aeronautics)","level":2,"score":0.6015956401824951},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.5552988648414612},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.5492475032806396},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.5315890908241272},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.46253517270088196},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.46121537685394287},{"id":"https://openalex.org/C2777299769","wikidata":"https://www.wikidata.org/wiki/Q3707858","display_name":"Type (biology)","level":2,"score":0.44276708364486694},{"id":"https://openalex.org/C2780586882","wikidata":"https://www.wikidata.org/wiki/Q7520643","display_name":"Simple (philosophy)","level":2,"score":0.4252014756202698},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4214118421077728},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.41760382056236267},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.39913102984428406},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.38203269243240356},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2851448655128479},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.13045454025268555},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1142517626285553},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.1005009114742279},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.07537305355072021},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C159985019","wikidata":"https://www.wikidata.org/wiki/Q181790","display_name":"Composite material","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1155/s1173912699000048","is_oa":true,"landing_page_url":"https://doi.org/10.1155/s1173912699000048","pdf_url":"https://downloads.hindawi.com/archive/1999/181404.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:CiteSeerX.psu:10.1.1.92.8579","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.92.8579","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://lsd.linux.cz/pub/muni.cz/EMIS/journals/HOA/JAMDS/68da.pdf","raw_type":"text"},{"id":"pmh:oai:hindawi.com:10.1155/S1173912699000048","is_oa":false,"landing_page_url":"https://doi.org/10.1155/S1173912699000048","pdf_url":null,"source":{"id":"https://openalex.org/S4306400340","display_name":"Hindawi Journal of Chemistry (Hindawi)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210126990","host_organization_name":"Hindawi (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210126990"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""}],"best_oa_location":{"id":"doi:10.1155/s1173912699000048","is_oa":true,"landing_page_url":"https://doi.org/10.1155/s1173912699000048","pdf_url":"https://downloads.hindawi.com/archive/1999/181404.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":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2115539870.pdf","grobid_xml":"https://content.openalex.org/works/W2115539870.grobid-xml"},"referenced_works_count":24,"referenced_works":["https://openalex.org/W22661420","https://openalex.org/W1580561995","https://openalex.org/W1975678140","https://openalex.org/W2004247418","https://openalex.org/W2041550349","https://openalex.org/W2049553013","https://openalex.org/W2077791698","https://openalex.org/W2134463231","https://openalex.org/W2160763071","https://openalex.org/W2312654690","https://openalex.org/W2342091962","https://openalex.org/W2799137445","https://openalex.org/W2802739963","https://openalex.org/W4206944253","https://openalex.org/W4242317941","https://openalex.org/W4299533062","https://openalex.org/W4302567662","https://openalex.org/W6600930625","https://openalex.org/W6634968766","https://openalex.org/W6644085413","https://openalex.org/W6662756914","https://openalex.org/W6670045599","https://openalex.org/W6750901960","https://openalex.org/W7070977645"],"related_works":["https://openalex.org/W2261105036","https://openalex.org/W2582787213","https://openalex.org/W2321320159","https://openalex.org/W2799595711","https://openalex.org/W1580325185","https://openalex.org/W4302334749","https://openalex.org/W2119732617","https://openalex.org/W3124371468","https://openalex.org/W86074650","https://openalex.org/W200080187"],"abstract_inverted_index":{"In":[0],"the":[1,26,38,41,73,97],"last":[2],"few":[3],"years":[4],"new":[5],"types":[6],"of":[7,29,37,43,53,72,96,99,107],"path-dependent":[8],"options":[9,12,15,23,31],"called":[10],"corridor":[11,81],"or":[13],"range":[14],"have":[16],"become":[17],"well-known":[18],"derivative":[19],"instruments":[20],"in":[21,65],"European":[22],"markets.":[24],"Since":[25],"payout":[27],"profiles":[28],"those":[30],"are":[32],"based":[33,84],"on":[34,85],"occupation":[35,100,108],"times":[36,101],"underlying":[39],"security":[40],"purpose":[42],"this":[44,66],"paper":[45,67],"is":[46,111],"to":[47],"provide":[48],"closed":[49],"form":[50],"pricing":[51],"formulae":[52],"Black":[54,74],"&":[55,75],"Scholes":[56,76],"type":[57],"for":[58,78],"some":[59],"significant":[60],"representatives.":[61],"Alternatively":[62],"we":[63],"demonstrate":[64],"a":[68,79,86,112],"relatively":[69],"simple":[70],"derivation":[71],"price":[77],"single":[80],"option":[82],"\u2013":[83,90],"static":[87],"portfolio":[88],"representation":[89],"which":[91],"does":[92],"not":[93],"make":[94],"use":[95],"distribution":[98],"(of":[102],"Brownian":[103],"motion).":[104],"However,":[105],"knowledge":[106],"times'":[109],"distributions":[110],"more":[113],"powerful":[114],"tool.":[115]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}