{"id":"https://openalex.org/W4391223018","doi":"https://doi.org/10.3390/a17020054","title":"Simultaneous Calibration of European Option Volatility and Fractional Order under the Time Fractional Vasicek Model","display_name":"Simultaneous Calibration of European Option Volatility and Fractional Order under the Time Fractional Vasicek Model","publication_year":2024,"publication_date":"2024-01-25","ids":{"openalex":"https://openalex.org/W4391223018","doi":"https://doi.org/10.3390/a17020054"},"language":"en","primary_location":{"id":"doi:10.3390/a17020054","is_oa":true,"landing_page_url":"https://doi.org/10.3390/a17020054","pdf_url":"https://www.mdpi.com/1999-4893/17/2/54/pdf?version=1706178962","source":{"id":"https://openalex.org/S190629608","display_name":"Algorithms","issn_l":"1999-4893","issn":["1999-4893"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithms","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/1999-4893/17/2/54/pdf?version=1706178962","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5020457516","display_name":"Y. W. Du","orcid":"https://orcid.org/0009-0008-2402-9453"},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yunkang Du","raw_affiliation_strings":["School of Mathematics, Renmin University of China, Beijing 100872, China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics, Renmin University of China, Beijing 100872, China","institution_ids":["https://openalex.org/I78988378"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101060955","display_name":"Zuoliang Xu","orcid":"https://orcid.org/0009-0001-8775-2760"},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zuoliang Xu","raw_affiliation_strings":["School of Mathematics, Renmin University of China, Beijing 100872, China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics, Renmin University of China, Beijing 100872, China","institution_ids":["https://openalex.org/I78988378"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101060955"],"corresponding_institution_ids":["https://openalex.org/I78988378"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1515},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1515},"fwci":0.5236,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.61653301,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"17","issue":"2","first_page":"54","last_page":"54"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"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":0.9990000128746033,"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/T10288","display_name":"Fractional Differential Equations Solutions","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9857000112533569,"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":0.7567706108093262},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.566872239112854},{"id":"https://openalex.org/keywords/calibration","display_name":"Calibration","score":0.5163115859031677},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4772767424583435},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.4711569547653198},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4614720344543457},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4291788935661316},{"id":"https://openalex.org/keywords/fractional-calculus","display_name":"Fractional calculus","score":0.4275633692741394},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22869688272476196},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.22484183311462402},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11644092202186584},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.07019159197807312}],"concepts":[{"id":"https://openalex.org/C201608381","wikidata":"https://www.wikidata.org/wiki/Q2331759","display_name":"Vasicek model","level":3,"score":0.7567706108093262},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.566872239112854},{"id":"https://openalex.org/C165838908","wikidata":"https://www.wikidata.org/wiki/Q736777","display_name":"Calibration","level":2,"score":0.5163115859031677},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4772767424583435},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4711569547653198},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4614720344543457},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4291788935661316},{"id":"https://openalex.org/C154249771","wikidata":"https://www.wikidata.org/wiki/Q1339058","display_name":"Fractional calculus","level":2,"score":0.4275633692741394},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22869688272476196},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22484183311462402},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11644092202186584},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.07019159197807312}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3390/a17020054","is_oa":true,"landing_page_url":"https://doi.org/10.3390/a17020054","pdf_url":"https://www.mdpi.com/1999-4893/17/2/54/pdf?version=1706178962","source":{"id":"https://openalex.org/S190629608","display_name":"Algorithms","issn_l":"1999-4893","issn":["1999-4893"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithms","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:d10721a2181c45778caeecb5bac96160","is_oa":true,"landing_page_url":"https://doaj.org/article/d10721a2181c45778caeecb5bac96160","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Algorithms, Vol 17, Iss 2, p 54 (2024)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3390/a17020054","is_oa":true,"landing_page_url":"https://doi.org/10.3390/a17020054","pdf_url":"https://www.mdpi.com/1999-4893/17/2/54/pdf?version=1706178962","source":{"id":"https://openalex.org/S190629608","display_name":"Algorithms","issn_l":"1999-4893","issn":["1999-4893"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithms","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/G2919037455","display_name":null,"funder_award_id":"12071479","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/G4548025536","display_name":null,"funder_award_id":"120714","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"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4391223018.pdf"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W69337820","https://openalex.org/W1991212918","https://openalex.org/W2000310720","https://openalex.org/W2007254210","https://openalex.org/W2059811821","https://openalex.org/W2062266804","https://openalex.org/W2065232540","https://openalex.org/W2065316639","https://openalex.org/W2075917008","https://openalex.org/W2076057077","https://openalex.org/W2077791698","https://openalex.org/W2315653911","https://openalex.org/W2460254899","https://openalex.org/W2567477586","https://openalex.org/W2768632108","https://openalex.org/W2771971878","https://openalex.org/W2791329661","https://openalex.org/W2905233627","https://openalex.org/W2941043721","https://openalex.org/W2954906999","https://openalex.org/W3016826875","https://openalex.org/W3043005211","https://openalex.org/W4210847241","https://openalex.org/W4213050604","https://openalex.org/W4224272298","https://openalex.org/W4229064061","https://openalex.org/W4283259046","https://openalex.org/W4288041890","https://openalex.org/W4294591196","https://openalex.org/W4385462839","https://openalex.org/W6650354467","https://openalex.org/W6731099478"],"related_works":["https://openalex.org/W2182957183","https://openalex.org/W2554086815","https://openalex.org/W2485293676","https://openalex.org/W2015743153","https://openalex.org/W3211890122","https://openalex.org/W2953006169","https://openalex.org/W1998031535","https://openalex.org/W2918166466","https://openalex.org/W3123764682","https://openalex.org/W4244881449"],"abstract_inverted_index":{"In":[0,65],"this":[1],"paper,":[2],"we":[3,40],"recover":[4],"the":[5,12,16,21,26,33,37,53,57,61,67,73,80,83],"European":[6],"option":[7],"volatility":[8,62],"function":[9,63],"\u03c3(t)":[10],"of":[11,20,36,56,69,82],"underlying":[13],"asset":[14],"and":[15,60,91],"fractional":[17,23,28],"order":[18],"\u03b1":[19,59],"time":[22,27],"derivatives":[24],"under":[25],"Vasicek":[29],"model.":[30],"To":[31],"address":[32],"ill-posed":[34],"nature":[35],"inverse":[38],"problem,":[39],"employ":[41],"Tikhonov":[42],"regularization.":[43],"The":[44],"Alternating":[45],"Direction":[46],"Multiplier":[47],"Method":[48],"(ADMM)":[49],"is":[50,86],"utilized":[51],"for":[52],"simultaneous":[54],"recovery":[55],"parameter":[58],"\u03c3(t).":[64],"addition,":[66],"existence":[68],"a":[70],"solution":[71],"to":[72],"minimization":[74],"problem":[75],"has":[76],"been":[77],"demonstrated.":[78],"Finally,":[79],"effectiveness":[81],"proposed":[84],"approach":[85],"verified":[87],"through":[88],"numerical":[89],"simulation":[90],"empirical":[92],"analysis.":[93]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-04-18T07:56:08.524223","created_date":"2025-10-10T00:00:00"}