{"entities":{"Q1776008":{"pageid":1786750,"ns":120,"title":"Item:Q1776008","lastrevid":48487117,"modified":"2026-01-04T23:39:49Z","type":"item","id":"Q1776008","labels":{"en":{"language":"en","value":"Lookback options and diffusion hitting times: a spectral expansion approach"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2169540"}},"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":"Q1776008$95A5CD45-F5B7-497A-87CA-73E021805D31","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"af616ce6e8a2c5f5eb9416cc3b7b5c83fc34c367","datavalue":{"value":{"text":"Lookback options and diffusion hitting times: a spectral expansion approach","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1776008$F7573268-A5F4-450D-8806-4FC53E79C413","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"d9b3f108fcfdc2a6a4c95f6d4e598e03b14dc0d3","datavalue":{"value":"1065.60105","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$3D0E2D3D-983A-431F-8574-4FD290CE2EE1","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ad9590843e38cafdaaa0542edddf9f22e05ddfc4","datavalue":{"value":{"entity-type":"item","numeric-id":318868,"id":"Q318868"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776008$A2CD1537-E9FC-45F3-88EC-C41656E52786","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776008$A28EE8C5-20F4-45A4-B03E-9EC27CBC6FC7","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"df3b590d9edae7ef06862f3d803ab57ea4760b6f","datavalue":{"value":{"time":"+2005-05-20T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1776008$6B4AB30D-2E76-4DA4-BF89-E3F2D1CB81A9","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"9beffd5a7174517bbc074bc2ff2f22998b8d1288","datavalue":{"value":"The author applies the spectral expansion approach to lookback options. Some general results for lookback options are presented when the underlying follows a one-dimensional diffusion and lookback prices are expressed in terms of hitting time distributions. A spectral decomposition of the first hitting time distribution of a one-dimensional diffusion is given. Then the diffusion with constant elasticity of variance is considered and analytical solutions for lookback options are obtained in terms of spectral expansions. This spectral expansion can serve as benchmarks for numerical methods. The specific advantages of spectral expansions are demonstrated.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$DF47B845-938F-4D81-A2A6-A1224B341C7D","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776008$B0773D9F-4E38-4180-9F92-E9308204406D","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"c5ceb18f65bc82337879ce60b200a02edc7b3293","datavalue":{"value":"60J35","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$7CFA5C68-CB1C-438C-89B6-D60DDF3D04D2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"2823797a7ed5886f5555bd10af24fd0d7821c4f3","datavalue":{"value":"60J60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$C99A4D6E-9EEA-4986-B8FB-5DBBBB81F9D1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"fe515d7498949de98baa786cc4113a31cd387a74","datavalue":{"value":"60G70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$D0BD6784-9959-461B-83AE-5FD3D1C2C857","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$638926C9-ED90-4AC2-8512-E2370F1532C7","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"71ed9019eda93997c6418671612599a948dc5afb","datavalue":{"value":"2169540","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$D0FB718A-18AF-4BD4-B89A-00ACAC263710","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"77fe4036b3e68f294f3dd6572ace12c6b3301421","datavalue":{"value":"lookback options","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$0D18C65B-CC92-4BF7-9B23-7722EC902FBE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"50100197e745d39eef6d4a08294e626fb7e8f5fa","datavalue":{"value":"diffusion maximum and minimum","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$8A59A790-A70B-449D-ACFE-8C4432499E46","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"672110074645f96af6e03f97b2cfc2a8cbea3dc4","datavalue":{"value":"hitting times","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$6E20A550-CB16-4881-93C8-0529F06B2D39","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9cf6408b6f78cd11fae5432754855b9521826324","datavalue":{"value":"spectral expansions","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$060DDCB2-9BF5-49D3-8ED9-38C7EE857C29","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"23294c884b1d49b1309e5dc2422e362f3ff85123","datavalue":{"value":"constant elasticity of variance","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$FFC356E5-738E-4FF8-8A89-B8F269E7229F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"90ae89714ad47394c7c46ca5552cd42281e74bd0","datavalue":{"value":"Bessel process","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776008$A29ED700-E982-4B15-A54D-CE1A0266A352","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":"Q1776008$4FC05AC4-4E01-4907-80B4-1D284781BB89","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"061d679b23541769b5594195a91dd1041d893c21","datavalue":{"value":"https://doi.org/10.1007/s00780-003-0120-5","type":"string"},"datatype":"url"},"type":"statement","id":"Q1776008$352F3CAB-3508-48F2-B2D8-B1F1ABE61D53","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"62fcae6aa49c8013e70e0b49c3a771946431895d","datavalue":{"value":"W2142368463","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$B2FF1A92-83F8-4860-87A8-460B9A996650","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"04603389e1b480bcb86761c2161d09f410eed22b","datavalue":{"value":"10.1007/S00780-003-0120-5","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776008$126B6B8F-5197-477B-A290-1C54C715A23B","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"55450ec12b0cb53031637709994f5f088dd4a5b0","datavalue":{"value":{"entity-type":"item","numeric-id":2841328,"id":"Q2841328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"346477cf7c0c5a77daedef0346ea610d284e9aec","datavalue":{"value":{"amount":"+0.7808598279953003","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776008$A6119EA7-560B-44C9-8271-BDC996D70D2D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b5884db608605fb71d64e1e9329a15f1e3a3b193","datavalue":{"value":{"entity-type":"item","numeric-id":4653015,"id":"Q4653015"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3c190a10f3f00af6e2c4c1adab0671fecbfd6262","datavalue":{"value":{"amount":"+0.7735573649406433","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":"Q1776008$3F589578-7062-495D-A30E-50D4C8A3E34C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"47baa2b755f47a3401a27fb99823fa1f4b899f9d","datavalue":{"value":{"entity-type":"item","numeric-id":5245351,"id":"Q5245351"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a07b9cd77e80342ca7f32ea454bd321065145b85","datavalue":{"value":{"amount":"+0.7632449865341187","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":"Q1776008$2C962EB8-FBB7-41CC-896C-642B1EE3F903","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1e8a741777def190b87499c762c3c087b3e3a2aa","datavalue":{"value":{"entity-type":"item","numeric-id":4584999,"id":"Q4584999"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"fd79d212b27614f3f1913aed5c7f5db649346f7b","datavalue":{"value":{"amount":"+0.7585726380348206","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":"Q1776008$3CA377ED-813D-466F-95A9-079ACF39B8A0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"16f36e4c29739fa7619f737171bd731b2e696290","datavalue":{"value":{"entity-type":"item","numeric-id":3370588,"id":"Q3370588"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"9a51540f80225f49413ad3e99c5acb5c0f6c2406","datavalue":{"value":{"amount":"+0.7576663494110107","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776008$AB92A4BF-3B61-4259-A80C-1DDEFAF1C9E6","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1776008","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1776008"}}}}}