{"id":"https://openalex.org/W1671484711","doi":"https://doi.org/10.3233/asy-2012-1110","title":"Pricing perpetual American puts under multi-scale stochastic volatility","display_name":"Pricing perpetual American puts under multi-scale stochastic volatility","publication_year":2012,"publication_date":"2012-10-01","ids":{"openalex":"https://openalex.org/W1671484711","doi":"https://doi.org/10.3233/asy-2012-1110","mag":"1671484711"},"language":"en","primary_location":{"id":"doi:10.3233/asy-2012-1110","is_oa":false,"landing_page_url":"https://doi.org/10.3233/asy-2012-1110","pdf_url":null,"source":{"id":"https://openalex.org/S141283892","display_name":"Asymptotic Analysis","issn_l":"0921-7134","issn":["0921-7134","1875-8576"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asymptotic Analysis","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/A5100604602","display_name":"Wenting Chen","orcid":"https://orcid.org/0000-0001-6039-4476"},"institutions":[{"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"],"is_corresponding":false,"raw_author_name":"Wen-Ting Chen","raw_affiliation_strings":["School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, Australia","School of Mathematics and Applied Statistics , University of Wollongong , Wollongong, NSW, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, Australia","institution_ids":["https://openalex.org/I204824540"]},{"raw_affiliation_string":"School of Mathematics and Applied Statistics , University of Wollongong , Wollongong, NSW, Australia","institution_ids":["https://openalex.org/I204824540"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060513029","display_name":"Song\u2010Ping Zhu","orcid":"https://orcid.org/0000-0002-2863-0640"},"institutions":[{"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"],"is_corresponding":false,"raw_author_name":"Song-Ping Zhu","raw_affiliation_strings":["School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, Australia","School of Mathematics and Applied Statistics , University of Wollongong , Wollongong, NSW, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, Australia","institution_ids":["https://openalex.org/I204824540"]},{"raw_affiliation_string":"School of Mathematics and Applied Statistics , University of Wollongong , Wollongong, NSW, Australia","institution_ids":["https://openalex.org/I204824540"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I204824540"],"apc_list":null,"apc_paid":null,"fwci":0.7028,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.76238871,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"80","issue":"1-2","first_page":"133","last_page":"148"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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":0.9922999739646912,"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":0.9714999794960022,"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/stochastic-volatility","display_name":"Stochastic volatility","score":0.7057523131370544},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6126353740692139},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.5595090985298157},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.525391161441803},{"id":"https://openalex.org/keywords/scale","display_name":"Scale (ratio)","score":0.49568116664886475},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4712653160095215},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.09204009175300598},{"id":"https://openalex.org/keywords/cartography","display_name":"Cartography","score":0.0517958402633667}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7057523131370544},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6126353740692139},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5595090985298157},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.525391161441803},{"id":"https://openalex.org/C2778755073","wikidata":"https://www.wikidata.org/wiki/Q10858537","display_name":"Scale (ratio)","level":2,"score":0.49568116664886475},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4712653160095215},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.09204009175300598},{"id":"https://openalex.org/C58640448","wikidata":"https://www.wikidata.org/wiki/Q42515","display_name":"Cartography","level":1,"score":0.0517958402633667}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3233/asy-2012-1110","is_oa":false,"landing_page_url":"https://doi.org/10.3233/asy-2012-1110","pdf_url":null,"source":{"id":"https://openalex.org/S141283892","display_name":"Asymptotic Analysis","issn_l":"0921-7134","issn":["0921-7134","1875-8576"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asymptotic Analysis","raw_type":"journal-article"},{"id":"pmh:oai:ro.uow.edu.au:eispapers-1165","is_oa":false,"landing_page_url":"https://ro.uow.edu.au/eispapers/160","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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1503295912","https://openalex.org/W1514815886","https://openalex.org/W1547666981","https://openalex.org/W1980900546","https://openalex.org/W1997595162","https://openalex.org/W2003028655","https://openalex.org/W2062341116","https://openalex.org/W2064978316","https://openalex.org/W2065242466","https://openalex.org/W2067023906","https://openalex.org/W2077529419","https://openalex.org/W2087951871","https://openalex.org/W2087968422","https://openalex.org/W2100011707","https://openalex.org/W2100539967","https://openalex.org/W2134783391","https://openalex.org/W2148080284","https://openalex.org/W2183527095","https://openalex.org/W3124480685","https://openalex.org/W3125666236"],"related_works":["https://openalex.org/W2040473961","https://openalex.org/W2291973775","https://openalex.org/W2994814085","https://openalex.org/W2172176281","https://openalex.org/W2156582424","https://openalex.org/W1505958887","https://openalex.org/W2286180210","https://openalex.org/W2753588648","https://openalex.org/W2760171142","https://openalex.org/W2392378997"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3,25],"consider":[4],"the":[5,34,53,61,68,78,81,92],"problem":[6],"of":[7,52],"pricing":[8,31],"perpetual":[9],"American":[10],"put":[11],"options":[12],"with":[13,67],"volatility":[14,83],"driven":[15],"by":[16],"two":[17,62],"other":[18],"processes.":[19],"By":[20],"using":[21],"a":[22,42,98],"perturbation":[23],"approach,":[24],"obtain":[26],"approximate":[27],"but":[28],"explicit":[29,89],"closed-form":[30],"formulae":[32],"for":[33],"option":[35],"and":[36],"optimal":[37],"exercise":[38],"prices,":[39],"respectively,":[40],"under":[41],"general":[43],"multi-scale":[44],"SV":[45,63],"(stochastic":[46],"volatility)":[47],"model.":[48],"A":[49],"key":[50],"feature":[51],"expansion":[54],"methodology":[55],"employed":[56],"here":[57],"is":[58,95,101],"to":[59,103],"balance":[60],"processes,":[64],"while":[65,91],"dealing":[66],"free":[69],"boundary":[70],"conditions":[71],"properly.":[72],"It":[73],"turns":[74],"out":[75],"that":[76,100],"in":[77],"current":[79],"formulae,":[80],"fast":[82],"factor":[84,94],"does":[85],"not":[86],"play":[87],"an":[88],"role,":[90],"slow":[93],"quite":[96,105],"crucial,":[97],"phenomenon":[99],"shown":[102],"be":[104],"reasonable":[106],"through":[107],"our":[108],"discussions.":[109]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-08-01T09:00:35.917206","created_date":"2025-10-10T00:00:00"}