{"id":"https://openalex.org/W4366114332","doi":"https://doi.org/10.1504/ijcsm.2023.10055621","title":"Pricing American put options model with application to oil options","display_name":"Pricing American put options model with application to oil options","publication_year":2023,"publication_date":"2023-01-01","ids":{"openalex":"https://openalex.org/W4366114332","doi":"https://doi.org/10.1504/ijcsm.2023.10055621"},"language":"en","primary_location":{"id":"doi:10.1504/ijcsm.2023.10055621","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1504/ijcsm.2023.10055621","pdf_url":null,"source":{"id":"https://openalex.org/S84141356","display_name":"International Journal of Computing Science and Mathematics","issn_l":"1752-5055","issn":["1752-5055","1752-5063"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310317825","host_organization_name":"Inderscience Publishers","host_organization_lineage":["https://openalex.org/P4310317825"],"host_organization_lineage_names":["Inderscience Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computing Science and 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/A5048792792","display_name":"Imane Agmour","orcid":"https://orcid.org/0000-0002-2942-7476"},"institutions":[{"id":"https://openalex.org/I99297268","display_name":"University of Hassan II Casablanca","ror":"https://ror.org/001q4kn48","country_code":"MA","type":"education","lineage":["https://openalex.org/I99297268"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Imane Agmour","raw_affiliation_strings":["Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco","institution_ids":["https://openalex.org/I99297268"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5052059786","display_name":"Naceur Achtaich","orcid":"https://orcid.org/0000-0001-8640-8338"},"institutions":[{"id":"https://openalex.org/I99297268","display_name":"University of Hassan II Casablanca","ror":"https://ror.org/001q4kn48","country_code":"MA","type":"education","lineage":["https://openalex.org/I99297268"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Naceur Achtaich","raw_affiliation_strings":["Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco","institution_ids":["https://openalex.org/I99297268"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5065554275","display_name":"Youssef El Foutayeni","orcid":"https://orcid.org/0000-0002-8207-7057"},"institutions":[{"id":"https://openalex.org/I99297268","display_name":"University of Hassan II Casablanca","ror":"https://ror.org/001q4kn48","country_code":"MA","type":"education","lineage":["https://openalex.org/I99297268"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Youssef El Foutayeni","raw_affiliation_strings":["Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco","institution_ids":["https://openalex.org/I99297268"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5034165399","display_name":"Hajar Nafia","orcid":null},"institutions":[{"id":"https://openalex.org/I99297268","display_name":"University of Hassan II Casablanca","ror":"https://ror.org/001q4kn48","country_code":"MA","type":"education","lineage":["https://openalex.org/I99297268"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Hajar Nafia","raw_affiliation_strings":["Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Sciences Ben M'Sik, Department of Mathematics and Computer Science, Hassan II University of Casablanca, Casablanca 20070, Morocco","institution_ids":["https://openalex.org/I99297268"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I99297268"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.06913778,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"17","issue":"1","first_page":"67","last_page":"67"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9656999707221985,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9656999707221985,"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/valuation-of-options","display_name":"Valuation of options","score":0.5471325516700745},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5402199625968933},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3389763832092285},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2568421959877014}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5471325516700745},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5402199625968933},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3389763832092285},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2568421959877014}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1504/ijcsm.2023.10055621","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1504/ijcsm.2023.10055621","pdf_url":null,"source":{"id":"https://openalex.org/S84141356","display_name":"International Journal of Computing Science and Mathematics","issn_l":"1752-5055","issn":["1752-5055","1752-5063"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310317825","host_organization_name":"Inderscience Publishers","host_organization_lineage":["https://openalex.org/P4310317825"],"host_organization_lineage_names":["Inderscience Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computing Science and Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2748952813","https://openalex.org/W2390279801","https://openalex.org/W2358668433","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W2382290278","https://openalex.org/W2478288626","https://openalex.org/W2350741829","https://openalex.org/W2530322880","https://openalex.org/W1596801655"],"abstract_inverted_index":{"In":[0],"this":[1,50],"paper,":[2],"we":[3,57],"reformulate":[4],"a":[5,41,59],"problem":[6,51],"of":[7,43],"pricing":[8],"American":[9],"put":[10,37,55],"options":[11,56],"to":[12,34],"linear":[13,45],"complementarity":[14,46],"problem.":[15,47],"The":[16],"space":[17],"and":[18,52],"the":[19,24,29,36,44,54],"time":[20],"are":[21],"discretised":[22],"with":[23],"finite":[25],"difference":[26],"method":[27],"in":[28],"Crank-Nickolson":[30],"approach,":[31],"which":[32],"leads":[33],"present":[35],"option":[38],"price":[39],"as":[40],"solution":[42],"For":[48],"solving":[49],"evaluating":[53],"use":[58],"fast":[60],"algorithm.":[61],"We":[62],"apply":[63],"our":[64],"study":[65],"for":[66],"an":[67],"example":[68],"on":[69],"oil":[70],"options.":[71]},"counts_by_year":[],"updated_date":"2026-01-23T23:20:30.427331","created_date":"2025-10-10T00:00:00"}
