{"id":"https://openalex.org/W4312287603","doi":"https://doi.org/10.3934/nhm.2023007","title":"Pricing stock loans under the L$ \\acute{e} $vy-$ \\alpha $-stable process with jumps","display_name":"Pricing stock loans under the L$ \\acute{e} $vy-$ \\alpha $-stable process with jumps","publication_year":2022,"publication_date":"2022-01-01","ids":{"openalex":"https://openalex.org/W4312287603","doi":"https://doi.org/10.3934/nhm.2023007"},"language":"en","primary_location":{"id":"doi:10.3934/nhm.2023007","is_oa":true,"landing_page_url":"https://doi.org/10.3934/nhm.2023007","pdf_url":null,"source":{"id":"https://openalex.org/S21752972","display_name":"Networks and Heterogeneous Media","issn_l":"1556-1801","issn":["1556-1801","1556-181X"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310315844","host_organization_name":"American Institute of Mathematical Sciences","host_organization_lineage":["https://openalex.org/P4310315844"],"host_organization_lineage_names":["American Institute of Mathematical Sciences"],"type":"journal"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Networks and Heterogeneous Media","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://doi.org/10.3934/nhm.2023007","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5052278427","display_name":"Congyin Fan","orcid":"https://orcid.org/0000-0003-2546-9422"},"institutions":[{"id":"https://openalex.org/I170172562","display_name":"Guizhou University of Finance and Economics","ror":"https://ror.org/02sw6yz40","country_code":"CN","type":"education","lineage":["https://openalex.org/I170172562"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Congyin Fan","raw_affiliation_strings":["School of Economic and Finance, Guizhou University of Commerce, Guiyang, Guizhou 550014, PR China"],"affiliations":[{"raw_affiliation_string":"School of Economic and Finance, Guizhou University of Commerce, Guiyang, Guizhou 550014, PR China","institution_ids":["https://openalex.org/I170172562"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100604602","display_name":"Wenting Chen","orcid":"https://orcid.org/0000-0001-6039-4476"},"institutions":[{"id":"https://openalex.org/I111599522","display_name":"Jiangnan University","ror":"https://ror.org/04mkzax54","country_code":"CN","type":"education","lineage":["https://openalex.org/I111599522"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Wenting Chen","raw_affiliation_strings":["School of Business, Jiangnan University, Jiangsu 214100, China"],"affiliations":[{"raw_affiliation_string":"School of Business, Jiangnan University, Jiangsu 214100, China","institution_ids":["https://openalex.org/I111599522"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100524902","display_name":"Feng Bing","orcid":null},"institutions":[{"id":"https://openalex.org/I170172562","display_name":"Guizhou University of Finance and Economics","ror":"https://ror.org/02sw6yz40","country_code":"CN","type":"education","lineage":["https://openalex.org/I170172562"]},{"id":"https://openalex.org/I111599522","display_name":"Jiangnan University","ror":"https://ror.org/04mkzax54","country_code":"CN","type":"education","lineage":["https://openalex.org/I111599522"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Bing Feng","raw_affiliation_strings":["School of Economic and Finance, Guizhou University of Commerce, Guiyang, Guizhou 550014, PR China","School of Business, Jiangnan University, Jiangsu 214100, China"],"affiliations":[{"raw_affiliation_string":"School of Economic and Finance, Guizhou University of Commerce, Guiyang, Guizhou 550014, PR China","institution_ids":["https://openalex.org/I170172562"]},{"raw_affiliation_string":"School of Business, Jiangnan University, Jiangsu 214100, China","institution_ids":["https://openalex.org/I111599522"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5100524902"],"corresponding_institution_ids":["https://openalex.org/I111599522","https://openalex.org/I170172562"],"apc_list":null,"apc_paid":null,"fwci":0.2706,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.50147512,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":"18","issue":"1","first_page":"191","last_page":"211"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10288","display_name":"Fractional Differential Equations Solutions","score":0.9994999766349792,"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"}},"topics":[{"id":"https://openalex.org/T10288","display_name":"Fractional Differential Equations Solutions","score":0.9994999766349792,"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/T11205","display_name":"Numerical methods in inverse problems","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"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/conjugate-gradient-method","display_name":"Conjugate gradient method","score":0.5569556951522827},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5322221517562866},{"id":"https://openalex.org/keywords/loan","display_name":"Loan","score":0.5119253396987915},{"id":"https://openalex.org/keywords/fast-fourier-transform","display_name":"Fast Fourier transform","score":0.5018489360809326},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4914170503616333},{"id":"https://openalex.org/keywords/operator","display_name":"Operator (biology)","score":0.484684020280838},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.47277310490608215},{"id":"https://openalex.org/keywords/fourier-transform","display_name":"Fourier transform","score":0.45452725887298584},{"id":"https://openalex.org/keywords/fractional-calculus","display_name":"Fractional calculus","score":0.454262912273407},{"id":"https://openalex.org/keywords/residual","display_name":"Residual","score":0.4540350139141083},{"id":"https://openalex.org/keywords/stock-price","display_name":"Stock price","score":0.4212518632411957},{"id":"https://openalex.org/keywords/boundary-value-problem","display_name":"Boundary value problem","score":0.4103371798992157},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.36774182319641113},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3493230938911438},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3339720666408539},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.21053814888000488},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.18357259035110474},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.15910738706588745}],"concepts":[{"id":"https://openalex.org/C81184566","wikidata":"https://www.wikidata.org/wiki/Q1191895","display_name":"Conjugate gradient method","level":2,"score":0.5569556951522827},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5322221517562866},{"id":"https://openalex.org/C2777764128","wikidata":"https://www.wikidata.org/wiki/Q189539","display_name":"Loan","level":2,"score":0.5119253396987915},{"id":"https://openalex.org/C75172450","wikidata":"https://www.wikidata.org/wiki/Q623950","display_name":"Fast Fourier transform","level":2,"score":0.5018489360809326},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4914170503616333},{"id":"https://openalex.org/C17020691","wikidata":"https://www.wikidata.org/wiki/Q139677","display_name":"Operator (biology)","level":5,"score":0.484684020280838},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.47277310490608215},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.45452725887298584},{"id":"https://openalex.org/C154249771","wikidata":"https://www.wikidata.org/wiki/Q1339058","display_name":"Fractional calculus","level":2,"score":0.454262912273407},{"id":"https://openalex.org/C155512373","wikidata":"https://www.wikidata.org/wiki/Q287450","display_name":"Residual","level":2,"score":0.4540350139141083},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.4212518632411957},{"id":"https://openalex.org/C182310444","wikidata":"https://www.wikidata.org/wiki/Q1332643","display_name":"Boundary value problem","level":2,"score":0.4103371798992157},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.36774182319641113},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3493230938911438},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3339720666408539},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21053814888000488},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18357259035110474},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.15910738706588745},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","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/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86339819","wikidata":"https://www.wikidata.org/wiki/Q407384","display_name":"Transcription factor","level":3,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.0},{"id":"https://openalex.org/C158448853","wikidata":"https://www.wikidata.org/wiki/Q425218","display_name":"Repressor","level":4,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3934/nhm.2023007","is_oa":true,"landing_page_url":"https://doi.org/10.3934/nhm.2023007","pdf_url":null,"source":{"id":"https://openalex.org/S21752972","display_name":"Networks and Heterogeneous Media","issn_l":"1556-1801","issn":["1556-1801","1556-181X"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310315844","host_organization_name":"American Institute of Mathematical Sciences","host_organization_lineage":["https://openalex.org/P4310315844"],"host_organization_lineage_names":["American Institute of Mathematical Sciences"],"type":"journal"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Networks and Heterogeneous Media","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:163eb9288268430a98468eea4e077055","is_oa":true,"landing_page_url":"https://doaj.org/article/163eb9288268430a98468eea4e077055","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":"Networks and Heterogeneous Media, Vol 18, Iss 1, Pp 191-211 (2022)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3934/nhm.2023007","is_oa":true,"landing_page_url":"https://doi.org/10.3934/nhm.2023007","pdf_url":null,"source":{"id":"https://openalex.org/S21752972","display_name":"Networks and Heterogeneous Media","issn_l":"1556-1801","issn":["1556-1801","1556-181X"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310315844","host_organization_name":"American Institute of Mathematical Sciences","host_organization_lineage":["https://openalex.org/P4310315844"],"host_organization_lineage_names":["American Institute of Mathematical Sciences"],"type":"journal"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Networks and Heterogeneous Media","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.4300000071525574,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W158727854","https://openalex.org/W1865708560","https://openalex.org/W1902909323","https://openalex.org/W2003410988","https://openalex.org/W2020772937","https://openalex.org/W2023101351","https://openalex.org/W2027039674","https://openalex.org/W2032732522","https://openalex.org/W2048671186","https://openalex.org/W2083644096","https://openalex.org/W2118160506","https://openalex.org/W2122809697","https://openalex.org/W2138540172","https://openalex.org/W2143623732","https://openalex.org/W2167909072","https://openalex.org/W2195108025","https://openalex.org/W2290964926","https://openalex.org/W2414938837","https://openalex.org/W2601947471","https://openalex.org/W2768711719","https://openalex.org/W2899132782","https://openalex.org/W2906694036","https://openalex.org/W2964228534","https://openalex.org/W2969874034","https://openalex.org/W3012422594","https://openalex.org/W3037870631","https://openalex.org/W3100248425","https://openalex.org/W3122167020","https://openalex.org/W3125755367","https://openalex.org/W4246674198","https://openalex.org/W4249570287","https://openalex.org/W4255989838"],"related_works":["https://openalex.org/W4327521644","https://openalex.org/W2978884468","https://openalex.org/W2034060070","https://openalex.org/W2168413811","https://openalex.org/W2005846134","https://openalex.org/W4229957265","https://openalex.org/W2544771389","https://openalex.org/W2369237035","https://openalex.org/W2948041274","https://openalex.org/W2165986314"],"abstract_inverted_index":{"<abstract><p>In":[0],"this":[1,24],"paper,":[2],"the":[3,9,27,44,51,54,60,64,91,100,103,117,120,127,132,146,150,155,161,165,171,176,188,195],"pricing":[4,105],"of":[5,53,68,119,164,175,197],"stock":[6,28,69,92],"loans":[7],"when":[8],"underlying":[10],"follows":[11],"a":[12,32,37,80,96,113,191],"L$":[13],"\\acute{e}":[14],"$vy-$":[15],"\\alpha":[16],"$-stable":[17],"process":[18],"with":[19,36,59,110,131],"jumps":[20],"is":[21,107,123,158,200],"considered.":[22],"Under":[23],"complicated":[25,97],"model,":[26],"loan":[29,93],"value":[30,163],"satisfies":[31],"fractional-partial-integro-differential":[33],"equation":[34],"(FPIDE)":[35],"free":[38],"boundary.":[39],"The":[40],"difficulties":[41],"in":[42],"solving":[43],"resulting":[45,62],"FPIDE":[46],"system":[47],"are":[48],"caused":[49],"by":[50,111,126,154],"non-localness":[52],"fractional-integro":[55,121],"differential":[56],"operator,":[57],"together":[58,130],"nonlinearity":[61],"from":[63,149],"early":[65],"exercise":[66],"opportunity":[67],"loans.":[70],"Despite":[71],"so":[72],"many":[73],"difficulties,":[74],"we":[75,139],"have":[76],"managed":[77],"to":[78,88],"propose":[79],"preconditioned":[81],"conjugate":[82],"gradient":[83],"normal":[84],"residual":[85],"(PCGNR)":[86],"method":[87,129,157],"price":[89],"efficiently":[90],"under":[94],"such":[95],"model.":[98],"In":[99],"proposed":[101],"approach,":[102],"moving":[104],"domain":[106,152],"successfully":[108],"dealt":[109],"introducing":[112],"penalty":[114],"term,":[115],"however,":[116],"semi-globalness":[118],"operator":[122],"elegantly":[124],"handled":[125],"PCGNR":[128],"fast":[133],"Fourier":[134],"transform":[135],"(FFT)":[136],"technique.":[137],"Remarkably,":[138],"show":[140],"both":[141],"theoretically":[142],"and":[143,173],"numerically":[144],"that":[145,182],"solution":[147],"determined":[148],"fixed":[151],"problem":[153],"current":[156,177],"always":[159],"above":[160],"intrinsic":[162],"corresponding":[166],"option.":[167],"Numerical":[168],"experiments":[169],"suggest":[170],"accuracy":[172],"advantage":[174],"approach":[178],"over":[179],"other":[180],"methods":[181],"can":[183],"be":[184],"compared.":[185],"Based":[186],"on":[187,194],"numerical":[189],"results,":[190],"quantitative":[192],"discussion":[193],"impacts":[196],"key":[198],"parameters":[199],"also":[201],"provided.</p></abstract>":[202]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}