{"id":"https://openalex.org/W4400949381","doi":"https://doi.org/10.7148/2024-0098","title":"Valuing a compound exchange option by monte carlo method","display_name":"Valuing a compound exchange option by monte carlo method","publication_year":2024,"publication_date":"2024-06-07","ids":{"openalex":"https://openalex.org/W4400949381","doi":"https://doi.org/10.7148/2024-0098"},"language":"en","primary_location":{"id":"doi:10.7148/2024-0098","is_oa":true,"landing_page_url":"http://dx.doi.org/10.7148/2024-0098","pdf_url":"http://www.scs-europe.net/dlib/2024/ecms2024acceptedpapers/0098_fes_ecms2024_0038.pdf","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ECMS 2024 Proceedings edited by Daniel Grzonka, Natalia Rylko, Grazyna Suchacka, Vladimir Mityushev","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"http://www.scs-europe.net/dlib/2024/ecms2024acceptedpapers/0098_fes_ecms2024_0038.pdf","any_repository_has_fulltext":null},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074624726","display_name":"Kata V\u00e1radi","orcid":"https://orcid.org/0000-0002-5939-2817"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Kata Varadi","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5105032120","display_name":"Janos Szaz","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Janos Szaz","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5105032121","display_name":"Patricia Becsky-Nagy","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Patricia Becsky-Nagy","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5074624726"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.1264,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.78761897,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":null,"issue":null,"first_page":"98","last_page":"104"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.8551999926567078,"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":0.8551999926567078,"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/monte-carlo-method","display_name":"Monte Carlo method","score":0.7587625980377197},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5633861422538757},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3744993805885315},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1473889946937561},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1359618902206421},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.13306528329849243}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7587625980377197},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5633861422538757},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3744993805885315},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1473889946937561},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1359618902206421},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.13306528329849243}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.7148/2024-0098","is_oa":true,"landing_page_url":"http://dx.doi.org/10.7148/2024-0098","pdf_url":"http://www.scs-europe.net/dlib/2024/ecms2024acceptedpapers/0098_fes_ecms2024_0038.pdf","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ECMS 2024 Proceedings edited by Daniel Grzonka, Natalia Rylko, Grazyna Suchacka, Vladimir Mityushev","raw_type":"proceedings-article"}],"best_oa_location":{"id":"doi:10.7148/2024-0098","is_oa":true,"landing_page_url":"http://dx.doi.org/10.7148/2024-0098","pdf_url":"http://www.scs-europe.net/dlib/2024/ecms2024acceptedpapers/0098_fes_ecms2024_0038.pdf","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ECMS 2024 Proceedings edited by Daniel Grzonka, Natalia Rylko, Grazyna Suchacka, Vladimir Mityushev","raw_type":"proceedings-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4400949381.pdf","grobid_xml":"https://content.openalex.org/works/W4400949381.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2748952813","https://openalex.org/W2390279801","https://openalex.org/W2358668433","https://openalex.org/W4396701345","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W4396696052","https://openalex.org/W2382290278","https://openalex.org/W2005266888"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2,44],"we":[3,18],"show":[4,53,158],"the":[5,33,54,58,67,71,75,80,98,102,107,114,118,121,128,136,141,146,150,159,162,166,169],"valuation":[6],"of":[7,57,101,106,117,140,161,168],"a":[8],"compound":[9],"exchange":[10,39,86],"option":[11,17,22,27,60,69,73,78,133,147,163],"by":[12],"Monte":[13],"Carlo":[14],"method,":[15],"which":[16,31,77],"named":[19],"as":[20,70,152],"ComEx":[21,26,59,108,122],"in":[23,42,74,93],"our":[24,43,94],"research.":[25],"is":[28,51,130],"an":[29],"option,":[30],"provides":[32],"right":[34,81],"to":[35,38,52,82,85],"its":[36,83],"owner":[37,84],"two":[40,46,87,103],"options,":[41,151],"specifically,":[45],"real":[47,104],"options.":[48],"Our":[49,110],"aim":[50],"intrinsic":[55],"value":[56],"with":[61],"different":[62],"parameter":[63],"settings.":[64],"We":[65,156],"use":[66],"Margrabe":[68],"benchmark":[72],"calculation,":[76],"gives":[79],"underlying":[88,91,99,137],"assets.":[89],"These":[90],"assets":[92,100,138],"calculations":[95],"will":[96],"be":[97],"options":[105,123],"option.":[109],"result":[111],"shows":[112],"that":[113],"price":[115],"evolution":[116],"Margrabe-,":[119],"and":[120,171],"are":[124],"very":[125],"similar,":[126],"just":[127],"scale":[129],"different.":[131],"The":[132],"on":[134,148,165],"exchanging":[135,149],"most":[139],"cases":[142],"worth":[143],"more":[144],"than":[145],"it":[153],"reduces":[154],"risk.":[155],"also":[157],"sensitivity":[160],"prices":[164],"change":[167],"correlation":[170],"volatility":[172],"parameters.":[173]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2026-03-10T16:38:18.471706","created_date":"2025-10-10T00:00:00"}