Class information for:
Level 1: AMERICAN OPTIONS//OPTION PRICING//BLACK SCHOLES EQUATION

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
7689 1339 24.5 41%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
755 2             BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//OPTION PRICING//REAL OPTIONS 12405
7689 1                   AMERICAN OPTIONS//OPTION PRICING//BLACK SCHOLES EQUATION 1339

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 AMERICAN OPTIONS authKW 3395836 17% 66% 227
2 OPTION PRICING authKW 801589 13% 20% 178
3 BLACK SCHOLES EQUATION authKW 744240 5% 54% 61
4 AMERICAN OPTION PRICING authKW 519471 2% 84% 27
5 AMERICAN PUT OPTION authKW 488911 2% 79% 27
6 SWING OPTIONS authKW 437807 2% 80% 24
7 BERMUDAN OPTIONS authKW 431862 2% 76% 25
8 PARTIAL INTEGRO DIFFERENTIAL EQUATION authKW 307813 2% 50% 27
9 OPTIMAL EXERCISE BOUNDARY authKW 275262 1% 93% 13
10 JUMP DIFFUSION MODEL authKW 255961 2% 34% 33

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 Business, Finance 41646 26% 1% 352
2 Mathematics, Applied 16697 44% 0% 594
3 Social Sciences, Mathematical Methods 12300 12% 0% 160
4 Mathematics, Interdisciplinary Applications 6852 17% 0% 221
5 Economics 4010 19% 0% 258
6 Statistics & Probability 2373 11% 0% 143
7 Operations Research & Management Science 2273 10% 0% 130
8 Mathematics 454 9% 0% 126
9 Management 324 4% 0% 51
10 Computer Science, Software Engineering 208 3% 0% 45

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 ADV STUDIES FINANCE 91196 1% 33% 12
2 ASSET TRADING TEAM 45606 0% 100% 2
3 CHAIR PL MATH NUMER ANAL AMNA 45606 0% 100% 2
4 ENPC INRIA UMLV 45606 0% 100% 2
5 UMR LPMA 7599 45606 0% 100% 2
6 LEHRSTUHL ANGEW MATH NUMER ANAL 35683 0% 26% 6
7 DIPARTIMENTO FINANZA IMP A MERCATI FINANZIARI 34201 0% 50% 3
8 NEGE 34201 0% 50% 3
9 UMR LAMA 8050 30403 0% 67% 2
10 DIPARTIMENTO STRATEGIE AZIENDALI METODOL QUANTI 29315 0% 43% 3

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF COMPUTATIONAL FINANCE 209976 3% 26% 35
2 MATHEMATICAL FINANCE 107941 4% 9% 51
3 SIAM JOURNAL ON FINANCIAL MATHEMATICS 50856 2% 10% 23
4 FINANCE AND STOCHASTICS 49042 2% 7% 30
5 REVIEW OF DERIVATIVES RESEARCH 46052 1% 14% 14
6 JOURNAL OF DERIVATIVES 39542 1% 9% 19
7 QUANTITATIVE FINANCE 39018 4% 4% 47
8 JOURNAL OF FUTURES MARKETS 12724 2% 2% 31
9 JOURNAL OF ECONOMIC DYNAMICS & CONTROL 9327 3% 1% 35
10 JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 8189 2% 2% 23

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 AMERICAN OPTIONS 3395836 17% 66% 227 Search AMERICAN+OPTIONS Search AMERICAN+OPTIONS
2 OPTION PRICING 801589 13% 20% 178 Search OPTION+PRICING Search OPTION+PRICING
3 BLACK SCHOLES EQUATION 744240 5% 54% 61 Search BLACK+SCHOLES+EQUATION Search BLACK+SCHOLES+EQUATION
4 AMERICAN OPTION PRICING 519471 2% 84% 27 Search AMERICAN+OPTION+PRICING Search AMERICAN+OPTION+PRICING
5 AMERICAN PUT OPTION 488911 2% 79% 27 Search AMERICAN+PUT+OPTION Search AMERICAN+PUT+OPTION
6 SWING OPTIONS 437807 2% 80% 24 Search SWING+OPTIONS Search SWING+OPTIONS
7 BERMUDAN OPTIONS 431862 2% 76% 25 Search BERMUDAN+OPTIONS Search BERMUDAN+OPTIONS
8 PARTIAL INTEGRO DIFFERENTIAL EQUATION 307813 2% 50% 27 Search PARTIAL+INTEGRO+DIFFERENTIAL+EQUATION Search PARTIAL+INTEGRO+DIFFERENTIAL+EQUATION
9 OPTIMAL EXERCISE BOUNDARY 275262 1% 93% 13 Search OPTIMAL+EXERCISE+BOUNDARY Search OPTIMAL+EXERCISE+BOUNDARY
10 JUMP DIFFUSION MODEL 255961 2% 34% 33 Search JUMP+DIFFUSION+MODEL Search JUMP+DIFFUSION+MODEL

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 DETEMPLE, J , (2014) OPTIMAL EXERCISE FOR DERIVATIVE SECURITIES.ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 6. VOL. 6. ISSUE . P. 459 -487 59 88% 0
2 SALMI, S , TOIVANEN, J , (2012) COMPARISON AND SURVEY OF FINITE DIFFERENCE METHODS FOR PRICING AMERICAN OPTIONS UNDER FINITE ACTIVITY JUMP-DIFFUSION MODELS.INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS. VOL. 89. ISSUE 9. P. 1112-1134 36 86% 3
3 LEDUC, G , (2016) OPTION CONVERGENCE RATE WITH GEOMETRIC RANDOM WALKS APPROXIMATIONS.STOCHASTIC ANALYSIS AND APPLICATIONS. VOL. 34. ISSUE 5. P. 767 -791 26 100% 0
4 ANDERSEN, L , LAKE, M , OFFENGENDEN, D , (2016) HIGH-PERFORMANCE AMERICAN OPTION PRICING.JOURNAL OF COMPUTATIONAL FINANCE. VOL. 20. ISSUE 1. P. 39 -87 26 76% 0
5 LI, MQ , (2010) A QUASI-ANALYTICAL INTERPOLATION METHOD FOR PRICING AMERICAN OPTIONS UNDER GENERAL MULTI-DIMENSIONAL DIFFUSION PROCESSES.REVIEW OF DERIVATIVES RESEARCH. VOL. 13. ISSUE 2. P. 177 -217 28 80% 2
6 SILVESTROV, D , LI, YX , (2016) STOCHASTIC APPROXIMATION METHODS FOR AMERICAN TYPE OPTIONS.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS. VOL. 45. ISSUE 6. P. 1607 -1631 21 91% 0
7 LEDUC, G , (2016) CAN HIGH-ORDER CONVERGENCE OF EUROPEAN OPTION PRICES BE ACHIEVED WITH COMMON CRR-TYPE BINOMIAL TREES?.BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY. VOL. 39. ISSUE 4. P. 1329 -1342 20 95% 0
8 BENDER, C , SCHOENMAKERS, J , ZHANG, JN , (2015) DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS.MATHEMATICAL FINANCE. VOL. 25. ISSUE 2. P. 339 -370 18 100% 2
9 JIN, X , LI, X , TAN, HH , WU, ZY , (2013) A COMPUTATIONALLY EFFICIENT STATE-SPACE PARTITIONING APPROACH TO PRICING HIGH-DIMENSIONAL AMERICAN OPTIONS VIA DIMENSION REDUCTION.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. VOL. 231. ISSUE 2. P. 362-370 22 85% 4
10 JIN, X , YANG, CY , (2016) EFFICIENT ESTIMATION OF LOWER AND UPPER BOUNDS FOR PRICING HIGHER-DIMENSIONAL AMERICAN ARITHMETIC AVERAGE OPTIONS BY APPROXIMATING THEIR PAYOFF FUNCTIONS.INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. VOL. 44. ISSUE . P. 65 -77 19 90% 0

Classes with closest relation at Level 1


Rank Class id link
1 1907 OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY
2 19552 SINGULAR STOCHASTIC CONTROL//PAIRS TRADING//OPTIMAL STOPPING
3 37501 COMBINATION TECHNIQUE//TWO SCALE DISCRETIZATION//SPARSE GRIDS
4 6857 FINANCE AND STOCHASTICS//INCOMPLETE MARKETS//FUNDAMENTAL THEOREM OF ASSET PRICING
5 6283 REAL OPTIONS//INVESTMENT UNDER UNCERTAINTY//INVESTMENT TIMING
6 25711 MULTIGRID AND MULTILEVEL METHODS//WEIGHTED MAX NORM//GENERALIZED SCHWARZ ALGORITHMS
7 22169 SKOROKHOD EMBEDDING PROBLEM//MAXIMUM PROCESS//SKOROKHOD EMBEDDING
8 4711 TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS
9 36081 INGN ERVORIOS//ADAPTIVE IMPLICIT METHOD//CONVOLUTIONAL INTEGRAL
10 10212 LONGEVITY RISK//LEE CARTER MODEL//INSURANCE MATHEMATICS & ECONOMICS

Go to start page