{"entities":{"Q1727172":{"pageid":1737913,"ns":120,"title":"Item:Q1727172","lastrevid":57281610,"modified":"2026-03-27T20:26:27Z","type":"item","id":"Q1727172","labels":{"en":{"language":"en","value":"Laplace transform method for pricing American CEV strangles option with two free boundaries"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7026631"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$B43A20F0-EB19-4B8D-AE2D-61E000D25803","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"a47dbe4522b9417f478d79617bddba08a79a3919","datavalue":{"value":{"text":"Laplace transform method for pricing American CEV strangles option with two free boundaries","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1727172$1211F8F9-DDEF-4E2D-87A1-A80AB3094E76","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"338534cf0ac19d612d2f479b5a1bac1f1bd7c39a","datavalue":{"value":"1422.91735","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$6A5D4C52-8BEB-47F2-9AF8-DD919A6F7AE5","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"cd43442115c4d68be556843fc70de65a46f43887","datavalue":{"value":"10.1155/2018/5908646","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$832BEDEE-545F-4DDF-B4FB-6B4C8D76BC36","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"a8e718df17e3391ec8bd2136512bb9e93a6d431f","datavalue":{"value":{"entity-type":"item","numeric-id":256530,"id":"Q256530"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$CEDBE216-314E-4E57-B096-383EF8783721","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"91598410178229f6a838661aaa61d1ef85d64890","datavalue":{"value":{"entity-type":"item","numeric-id":364343,"id":"Q364343"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$DBD06FD6-22A9-45CE-ABBC-D959751BAC7F","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e5ea7bc024fe2946ca15646035f056e2ab96db7a","datavalue":{"value":{"entity-type":"item","numeric-id":169945,"id":"Q169945"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$592AB7DD-87AD-4520-AF7C-C6CC31D69FD6","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"c2abc0aefb7bc0228c8adbe9d8dd479925c1b7f9","datavalue":{"value":{"time":"+2019-02-20T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1727172$824C7B84-BA11-49A0-880B-16630A36244F","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"be4f5d113835f6c71c63dba6ed8f3731a8f1433b","datavalue":{"value":"Summary: Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options and exotic options without early exercise features. However the Laplace transform methods for pricing American options have unsatisfactory accuracy and suffer from the instability. The aim of this paper is to develop a Laplace transform method for pricing American Strangles options with the underlying asset price following the constant elasticity volatility (CEV) models. By approximating the free boundaries, the Laplace transform is taken on a fixed space region to replace the moving boundaries space. After solving the linear system in Laplace space, Gaver-Stehfest formula (GSF) and hyperbola contour integral method (HCIM) are applied to compute the Laplace inversion. Numerical results show that the LTM-HCIM outperform the LTM-GSF in regard to the accuracy and stability for the option values.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1727172$77B3FE64-5DE4-47A9-8277-EEA764311EA0","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$4E34FAEA-C50D-452B-A09C-31CFAFF86401","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"11cf4c76f7269458fd2dfdd0111e5a584e4a582e","datavalue":{"value":"44A10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$B6A11840-053D-4463-986B-440E83ADC5E2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"96985b9b4d60c0f935f371b2243a7deeef976496","datavalue":{"value":"60G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$8CCA4AFA-6899-4855-A96F-621550313D0A","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"6a1ad7e5eae4657b427cf3e3c29d3c5822c8bfa9","datavalue":{"value":"7026631","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$E4E1C5D9-D62D-408C-8A77-4A56A9F1D521","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$7C4DE040-FBD2-4BDE-9C7B-6CC3778A7272","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"c8c2fe3ea5eafc0c54fc440e81b023ea787e9045","datavalue":{"value":"https://doi.org/10.1155/2018/5908646","type":"string"},"datatype":"url"},"type":"statement","id":"Q1727172$8834E6F4-96AB-4AB5-B6E5-08221751F5E4","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"e799adc0e891445d9332b5a10bec833dee9ed036","datavalue":{"value":"W2892175967","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$70F33E7C-DECD-41BC-88E3-4C1D4DF96F78","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"31c6a96205464cb48c89272338b09468dc594626","datavalue":{"value":{"entity-type":"item","numeric-id":5374084,"id":"Q5374084"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$D38828C2-1A85-4B11-A80C-6C7B9F527451","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"aa7b3daaf647b4266a523c496f70eb3e4c5fac10","datavalue":{"value":{"entity-type":"item","numeric-id":1979080,"id":"Q1979080"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$3471A424-80D1-4299-AE05-BE84C5ACF172","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4c5fee66d7bd5f58327f968b6510d2a0ba823cf1","datavalue":{"value":{"entity-type":"item","numeric-id":3114712,"id":"Q3114712"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$947B3918-325A-4264-A926-E54E4197D98F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d0cda3aa6dd004f4f452d35b4e4aebf17bb1441e","datavalue":{"value":{"entity-type":"item","numeric-id":3022098,"id":"Q3022098"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$461731DB-6C15-4E41-BA36-E3BB9891D093","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"af88db95105b32925a7f44d16ea79878ea82b985","datavalue":{"value":{"entity-type":"item","numeric-id":2892214,"id":"Q2892214"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$A0F5249E-BC5C-42FF-9196-B23162A7A4E0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c5851c017db4f60032ffc4dee23d57a6ff87b93a","datavalue":{"value":{"entity-type":"item","numeric-id":4784303,"id":"Q4784303"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$8BD95D5A-0742-4C16-8473-F2D5914D8A98","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fffde54c1e9d7b033667e15d6fd469e142190afd","datavalue":{"value":{"entity-type":"item","numeric-id":3421829,"id":"Q3421829"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$AECAAB13-C00F-400D-96B4-BD7DAFA99362","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e8746de0c051f5a56088ae6390082c8ef2b50a8d","datavalue":{"value":{"entity-type":"item","numeric-id":2480974,"id":"Q2480974"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$C84C4D62-BB8B-46C2-BE57-4309B9BF6DD1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dedc6853db3db70a468709c74a6e02236db337c7","datavalue":{"value":{"entity-type":"item","numeric-id":613360,"id":"Q613360"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$E78182EE-DEAE-4912-B4D5-40278C1D7B0C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"249dcb87b52e644e291b078a4c73bc00b548627b","datavalue":{"value":{"entity-type":"item","numeric-id":2442980,"id":"Q2442980"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$ED756866-CD0F-40F7-A842-9DCF4967444A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cd8c9e4f4448aebc835ff427e2782921f7c6ae72","datavalue":{"value":{"entity-type":"item","numeric-id":1785456,"id":"Q1785456"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$7DDECA0A-B60F-41F8-ABA8-20C39D3E9A96","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"99e387535029db78faf31191fb2730e2436a97dd","datavalue":{"value":{"entity-type":"item","numeric-id":1704172,"id":"Q1704172"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$15E27646-249A-4E23-834B-40FCEA02CF85","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a493e4f3c29a6c849904d10398d4d478e9287fdf","datavalue":{"value":{"entity-type":"item","numeric-id":1703050,"id":"Q1703050"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$4F3BBB72-8B2F-45D0-9478-4C8102DDDEEA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0545856232a15529f5113318f7b62fec27948c75","datavalue":{"value":{"entity-type":"item","numeric-id":953735,"id":"Q953735"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$FF76387D-74CC-471C-BB0A-DE149150310B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5d732a7f4298cd71889d6f6baec1286129715789","datavalue":{"value":{"entity-type":"item","numeric-id":3593056,"id":"Q3593056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$9C6E52FD-475A-49D3-8DBD-71F7B7131227","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fa166aa5e6f76144a024b5e878e46b868f49c1a8","datavalue":{"value":{"entity-type":"item","numeric-id":4349551,"id":"Q4349551"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$A78D17AF-617A-46E4-AE83-9EEB210C8D12","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f31355810f597f2f84da8d87350d980b85434fdb","datavalue":{"value":{"entity-type":"item","numeric-id":533479,"id":"Q533479"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$8763961D-69F0-45A1-BBBB-17BB5BD92913","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cdb4395e910e0556c8d9d70425a6a9ea826f8fb6","datavalue":{"value":{"entity-type":"item","numeric-id":1767972,"id":"Q1767972"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$49A894DE-43B0-4CAC-B30B-761A230995CB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b1e43bd791ceac79b10e98b73edcd2736d209094","datavalue":{"value":{"entity-type":"item","numeric-id":4192923,"id":"Q4192923"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$CD512F17-E797-45CB-9A65-17842386DA81","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5b38b3fc64f646660fd1e49668a627d5d1454f8a","datavalue":{"value":{"entity-type":"item","numeric-id":283284,"id":"Q283284"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$2EE2B9FF-8DAF-432D-8CB5-E06E66912FF5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"146d0c11dd556ca32675a6bdc74b0c89cdb96285","datavalue":{"value":{"entity-type":"item","numeric-id":3433758,"id":"Q3433758"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$F212C96B-BED3-490E-835B-1DD70160B995","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ba8b045d284ff3d57fb0ab372435a40d46c3573a","datavalue":{"value":{"entity-type":"item","numeric-id":5189141,"id":"Q5189141"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$2ACBED42-64A6-4F44-86AC-8DDC159ECA0C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e16c0893abb440be0edfd8d28b649e917c31605d","datavalue":{"value":{"entity-type":"item","numeric-id":1651338,"id":"Q1651338"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$9403ADE5-99FC-4408-A22B-5E5836D072DA","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"c8f8b0987e9d808c4a3bb04869ef4dbca71bd87a","datavalue":{"value":"Q129282338","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1727172$7AF4E4C1-0AF1-4EFD-ABA3-8C93227CAA15","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a00cb04910a3744c722b7b59a8f47788cd02dc34","datavalue":{"value":{"entity-type":"item","numeric-id":613360,"id":"Q613360"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c66eefd9d5b025cae03d0758490359c00f8311ca","datavalue":{"value":{"amount":"+0.8455178737640381","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1727172$F35F8AF3-FED7-4A3A-8D6F-61D4EB0DB98A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6a7e6f6c21a519576361d811f1a88c68c1b2229c","datavalue":{"value":{"entity-type":"item","numeric-id":1608817,"id":"Q1608817"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"de9b19971c467fd685e8ba08f9f17bb31c2d1cbd","datavalue":{"value":{"amount":"+0.8205723166465759","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1727172$CECBC0E5-EECC-4C65-BDCE-F4E67F647F77","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"376a9ae1c93c1b9c6769a351e224db54b1972190","datavalue":{"value":{"entity-type":"item","numeric-id":2005252,"id":"Q2005252"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"50d23e39fc4f9f8adc0ac74b3f923a9da7b66202","datavalue":{"value":{"amount":"+0.8200134038925171","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1727172$ABA1DA3C-8C7B-41FC-96EC-E15158934EF6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9c0745d1dae957b07abf39fdb33f92725f2c1c1b","datavalue":{"value":{"entity-type":"item","numeric-id":1704172,"id":"Q1704172"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"23c15736bbda6ba60484d1b679550d2dea59920f","datavalue":{"value":{"amount":"+0.8100749254226685","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1727172$812654C7-FA8E-4035-9A95-4E49338F0242","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"43f4f70948c82edcc5df40b694a61abdb10f29cc","datavalue":{"value":{"entity-type":"item","numeric-id":4923492,"id":"Q4923492"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"70600aa1f88633dd13310af6771a03a7d7949b92","datavalue":{"value":{"amount":"+0.8021934628486633","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1727172$296FA32E-BAB7-4357-A12B-FE8578F96419","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1727172$1BD2CE91-BD77-4B6D-B505-A8B82B0CCB96","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1727172","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1727172"}}}}}