{"id":"https://openalex.org/W4298147666","doi":"https://doi.org/10.15439/2022f164","title":"A Stochastic Optimization Method for European Option Pricing","display_name":"A Stochastic Optimization Method for European Option Pricing","publication_year":2022,"publication_date":"2022-09-26","ids":{"openalex":"https://openalex.org/W4298147666","doi":"https://doi.org/10.15439/2022f164"},"language":"en","primary_location":{"id":"doi:10.15439/2022f164","is_oa":true,"landing_page_url":"https://doi.org/10.15439/2022f164","pdf_url":"https://annals-csis.org/proceedings/2022/drp/pdf/164.pdf","source":{"id":"https://openalex.org/S4220651875","display_name":"Annals of Computer Science and Information Systems","issn_l":"2300-5963","issn":["2300-5963"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":"https://openalex.org/P4310317484","host_organization_name":"Polskie Towarzystwo Informatyczne","host_organization_lineage":["https://openalex.org/P4310317484"],"host_organization_lineage_names":["Polskie Towarzystwo Informatyczne"],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Computer Science and Information Systems","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://annals-csis.org/proceedings/2022/drp/pdf/164.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5078762918","display_name":"Venelin Todorov","orcid":"https://orcid.org/0000-0001-7134-5901"},"institutions":[{"id":"https://openalex.org/I24768866","display_name":"Bulgarian Academy of Sciences","ror":"https://ror.org/01x8hew03","country_code":"BG","type":"government","lineage":["https://openalex.org/I24768866"]},{"id":"https://openalex.org/I4210105926","display_name":"Institute of Mathematics and Informatics","ror":"https://ror.org/01b5dy719","country_code":"BG","type":"facility","lineage":["https://openalex.org/I24768866","https://openalex.org/I4210105926"]},{"id":"https://openalex.org/I4210163063","display_name":"Institute of Information and Communication Technologies","ror":"https://ror.org/05fpsjc82","country_code":"BG","type":"facility","lineage":["https://openalex.org/I24768866","https://openalex.org/I4210163063"]},{"id":"https://openalex.org/I43986944","display_name":"Angel Kanchev University of Ruse","ror":"https://ror.org/01g09ef73","country_code":"BG","type":"education","lineage":["https://openalex.org/I43986944"]}],"countries":["BG"],"is_corresponding":false,"raw_author_name":"Venelin Todorov","raw_affiliation_strings":["Department of Applied Mathematics and Statistics Angel Kanchev University of Ruse 8 Studentska Str., 7004 Ruse, Bulgaria","Institute of Information and Communication Technologies Bulgarian Academy of Sciences 25A Acad. G. Bonchev Str., 1113 Sofia, Bulgaria","Institute of Mathematics and Informatics Bulgarian Academy of Sciences 8 Acad. G. Bonchev Str., 1113 Sofia, Bulgaria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics and Statistics Angel Kanchev University of Ruse 8 Studentska Str., 7004 Ruse, Bulgaria","institution_ids":["https://openalex.org/I43986944"]},{"raw_affiliation_string":"Institute of Information and Communication Technologies Bulgarian Academy of Sciences 25A Acad. G. Bonchev Str., 1113 Sofia, Bulgaria","institution_ids":["https://openalex.org/I24768866","https://openalex.org/I4210163063"]},{"raw_affiliation_string":"Institute of Mathematics and Informatics Bulgarian Academy of Sciences 8 Acad. G. Bonchev Str., 1113 Sofia, Bulgaria","institution_ids":["https://openalex.org/I24768866","https://openalex.org/I4210105926"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5073083825","display_name":"Slavi Georgiev","orcid":"https://orcid.org/0000-0001-9826-9603"},"institutions":[{"id":"https://openalex.org/I24768866","display_name":"Bulgarian Academy of Sciences","ror":"https://ror.org/01x8hew03","country_code":"BG","type":"government","lineage":["https://openalex.org/I24768866"]},{"id":"https://openalex.org/I4210105926","display_name":"Institute of Mathematics and Informatics","ror":"https://ror.org/01b5dy719","country_code":"BG","type":"facility","lineage":["https://openalex.org/I24768866","https://openalex.org/I4210105926"]},{"id":"https://openalex.org/I4210163063","display_name":"Institute of Information and Communication Technologies","ror":"https://ror.org/05fpsjc82","country_code":"BG","type":"facility","lineage":["https://openalex.org/I24768866","https://openalex.org/I4210163063"]},{"id":"https://openalex.org/I43986944","display_name":"Angel Kanchev University of Ruse","ror":"https://ror.org/01g09ef73","country_code":"BG","type":"education","lineage":["https://openalex.org/I43986944"]}],"countries":["BG"],"is_corresponding":false,"raw_author_name":"Slavi Georgiev","raw_affiliation_strings":["Department of Applied Mathematics and Statistics Angel Kanchev University of Ruse 8 Studentska Str., 7004 Ruse, Bulgaria","Institute of Information and Communication Technologies Bulgarian Academy of Sciences 25A Acad. G. Bonchev Str., 1113 Sofia, Bulgaria","Institute of Mathematics and Informatics Bulgarian Academy of Sciences 8 Acad. G. Bonchev Str., 1113 Sofia, Bulgaria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics and Statistics Angel Kanchev University of Ruse 8 Studentska Str., 7004 Ruse, Bulgaria","institution_ids":["https://openalex.org/I43986944"]},{"raw_affiliation_string":"Institute of Information and Communication Technologies Bulgarian Academy of Sciences 25A Acad. G. Bonchev Str., 1113 Sofia, Bulgaria","institution_ids":["https://openalex.org/I24768866","https://openalex.org/I4210163063"]},{"raw_affiliation_string":"Institute of Mathematics and Informatics Bulgarian Academy of Sciences 8 Acad. G. Bonchev Str., 1113 Sofia, Bulgaria","institution_ids":["https://openalex.org/I24768866","https://openalex.org/I4210105926"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.8851,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.75725027,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"32","issue":null,"first_page":"97","last_page":"100"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8518999814987183,"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":0.8518999814987183,"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/computer-science","display_name":"Computer science","score":0.5393728017807007},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.49313801527023315},{"id":"https://openalex.org/keywords/stochastic-optimization","display_name":"Stochastic optimization","score":0.48309755325317383},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3990306258201599},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.20050829648971558},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.19699814915657043},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.18819716572761536}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5393728017807007},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.49313801527023315},{"id":"https://openalex.org/C194387892","wikidata":"https://www.wikidata.org/wiki/Q1747770","display_name":"Stochastic optimization","level":2,"score":0.48309755325317383},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3990306258201599},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.20050829648971558},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19699814915657043},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.18819716572761536}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.15439/2022f164","is_oa":true,"landing_page_url":"https://doi.org/10.15439/2022f164","pdf_url":"https://annals-csis.org/proceedings/2022/drp/pdf/164.pdf","source":{"id":"https://openalex.org/S4220651875","display_name":"Annals of Computer Science and Information Systems","issn_l":"2300-5963","issn":["2300-5963"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":"https://openalex.org/P4310317484","host_organization_name":"Polskie Towarzystwo Informatyczne","host_organization_lineage":["https://openalex.org/P4310317484"],"host_organization_lineage_names":["Polskie Towarzystwo Informatyczne"],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Computer Science and Information Systems","raw_type":"proceedings-article"},{"id":"pmh:oai:bpos.bg:35506","is_oa":true,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S7407055231","display_name":"Bulgarian Portal for Open Science","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"research article"},{"id":"pmh:oai:doaj.org/article:35c7ebbc116641fca55ea82ecffbe4c9","is_oa":false,"landing_page_url":"https://doaj.org/article/35c7ebbc116641fca55ea82ecffbe4c9","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Annals of computer science and information systems, Vol 32, Pp 97-100 (2022)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.15439/2022f164","is_oa":true,"landing_page_url":"https://doi.org/10.15439/2022f164","pdf_url":"https://annals-csis.org/proceedings/2022/drp/pdf/164.pdf","source":{"id":"https://openalex.org/S4220651875","display_name":"Annals of Computer Science and Information Systems","issn_l":"2300-5963","issn":["2300-5963"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":"https://openalex.org/P4310317484","host_organization_name":"Polskie Towarzystwo Informatyczne","host_organization_lineage":["https://openalex.org/P4310317484"],"host_organization_lineage_names":["Polskie Towarzystwo Informatyczne"],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Computer Science and Information Systems","raw_type":"proceedings-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4298147666.pdf","grobid_xml":"https://content.openalex.org/works/W4298147666.grobid-xml"},"referenced_works_count":15,"referenced_works":["https://openalex.org/W195972211","https://openalex.org/W625927843","https://openalex.org/W1600624394","https://openalex.org/W1963748947","https://openalex.org/W1982039177","https://openalex.org/W2007576462","https://openalex.org/W2017001763","https://openalex.org/W2023312901","https://openalex.org/W2045422729","https://openalex.org/W2098612888","https://openalex.org/W2146612430","https://openalex.org/W2342091962","https://openalex.org/W2505716266","https://openalex.org/W4237151101","https://openalex.org/W4298836940"],"related_works":["https://openalex.org/W1978379809","https://openalex.org/W3089040801","https://openalex.org/W2160374150","https://openalex.org/W2062144119","https://openalex.org/W1606227631","https://openalex.org/W4211155097","https://openalex.org/W2490800486","https://openalex.org/W4385342095","https://openalex.org/W2101979813","https://openalex.org/W2012437081"],"abstract_inverted_index":{"In":[0,18,51],"the":[1,4,19,21,25,35,62,65],"contemporary":[2],"finance":[3],"Monte":[5,39],"Carlo":[6,9,40],"and":[7,45],"quasi-Monte":[8],"methods":[10,41,58],"are":[11,42],"solid":[12],"instruments":[13],"to":[14],"solve":[15],"various":[16],"problems.":[17],"paper":[20,53],"problem":[22],"of":[23,28,64],"deriving":[24],"fair":[26],"value":[27],"European":[29,69],"style":[30,70],"options":[31],"is":[32],"considered.":[33],"Regarding":[34],"option":[36],"pricing":[37],"problems,":[38],"extremely":[43],"efficient":[44],"useful,":[46],"especially":[47],"in":[48],"higher":[49],"dimensions.":[50],"this":[52],"we":[54],"show":[55],"simulation":[56],"optimization":[57],"which":[59],"essentially":[60],"improve":[61],"accuracy":[63],"standard":[66],"approaches":[67],"for":[68],"options.":[71]},"counts_by_year":[{"year":2023,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}