{"entities":{"Q2483862":{"pageid":2494605,"ns":120,"title":"Item:Q2483862","lastrevid":73477749,"modified":"2026-04-14T16:09:08Z","type":"item","id":"Q2483862","labels":{"en":{"language":"en","value":"Saddlepoint approximations to option price in a general equilibrium model"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2190371"}},"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":"Q2483862$1C8E67CD-1147-491C-A61E-EABAA8430213","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"e861771f0dbd125f0ac3a7f2b7b14a29fe0d55db","datavalue":{"value":{"text":"Saddlepoint approximations to option price in a general equilibrium model","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2483862$EE69C525-4AD8-4BD2-B9B3-325DDB023DDE","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"4ae303105c63246d3ab430b753d95a74297ea3b1","datavalue":{"value":"1076.60053","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2483862$3F233FB5-7203-423A-B547-F53091B30F10","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"0ae3e7aca2eb41e7df318d75d200fbaed41e38cc","datavalue":{"value":{"entity-type":"item","numeric-id":322741,"id":"Q322741"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$CAC4F618-2EE9-4E1C-AB61-69C01CFDB86B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"c2ab63394f6e92c96b0d74a53269db7eb4b1a7d2","datavalue":{"value":{"entity-type":"item","numeric-id":428353,"id":"Q428353"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$A9AC94A1-BD1F-41C0-AEBF-E287A46355C2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"4294312d3a6707ed5e55f893d910e1c1a3eb31a2","datavalue":{"value":{"entity-type":"item","numeric-id":1610848,"id":"Q1610848"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$05641C90-B636-4631-A574-294136EC5B65","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"6bc4e98086241c10d52d91b9f51a8e9963146852","datavalue":{"value":{"entity-type":"item","numeric-id":173655,"id":"Q173655"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$B64DA5B5-4EDE-423B-AE19-563131E5C4AB","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"060bece54e45684ba51870be219b4c49f86efe6c","datavalue":{"value":{"time":"+2005-08-01T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2483862$E1F3F758-A4C6-422D-9803-C39EC7F1E9F6","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"a3cc9bf78865683838c770f9963520925b2af7d4","datavalue":{"value":"This paper deals with applications of the saddlepoint approximations to compute the price of European options, where return processes are from a general equilibrium model. The authors show that the saddlepoint approximations methodology is applicable and can be easily implemented under a general equilibrium model, in particular, when the moment generating function or equivalently cumulant generating function of log-price process is known and analytic in some area. The authors develop a jump-diffusion model, calibrate the model on the S\\&P 500 index by applying the Lugannani-Rice formula to European call option price. The accuracy of proposed methodology is verified by comparing it with the Fourier inversion and Monte Carlo simulation.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2483862$A0E3E177-C945-4D60-995F-F34183BA1C35","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"b1355fbb4f7dce5b1a2a667a659d4b16ecef07e4","datavalue":{"value":"60H10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2483862$93AD1FF6-F23E-48F4-BD60-1AE5B1FB6D3D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2483862$4D63688F-29D1-4EE6-A9AC-FF68560DFDF1","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"bf44e36c745d3a1fd7bfa2ea7dcaf9084680a6dd","datavalue":{"value":"2190371","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2483862$CBF00102-2614-4438-9632-008C425670A9","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b1f2ddce604924ab32527569a0f52666c50cc2ec","datavalue":{"value":"option pricing","type":"string"},"datatype":"string"},"type":"statement","id":"Q2483862$96B94AFE-42AF-4AF8-9FDA-D49569EAF330","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"8fdc5177978f02028643ab75b9265254c8333f9c","datavalue":{"value":"stochastic interest rates","type":"string"},"datatype":"string"},"type":"statement","id":"Q2483862$833947AA-B19C-48BF-A2D2-752C984456D2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a6b3db35268ac10fd6bfc17f9e82ae665d503f97","datavalue":{"value":"stochastic volatility","type":"string"},"datatype":"string"},"type":"statement","id":"Q2483862$A4F9EE22-5057-4FD4-A573-982B773C9026","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"de1d1c2e1c6bfdfb0344bb0181fe84e959c1c5f9","datavalue":{"value":{"entity-type":"item","numeric-id":589933,"id":"Q589933"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$00941C9D-3F6F-43F8-BFAB-F248F8B042B1","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":"Q2483862$667A363A-4CBB-47DF-953F-4C43DD92DE83","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"8eb4764322b9529eb53e6afdb317cf0b6c8c30c4","datavalue":{"value":"https://doi.org/10.1016/j.spl.2004.11.018","type":"string"},"datatype":"url"},"type":"statement","id":"Q2483862$2DB2F06A-20AF-4FBC-8CCB-EA835EC8A264","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"3a366be689049306696a8f212b500825985dab26","datavalue":{"value":"W2086228635","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2483862$A3469E02-78F8-4198-AC7B-A36B7D6065E8","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"c4aa81fc26e931c1ade2d7b9663cde967e8b5822","datavalue":{"value":{"entity-type":"item","numeric-id":4888858,"id":"Q4888858"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$B3045A23-98ED-4611-967A-EEBD1D73C3D8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"575125df531e6537debec32f2c9fad0f574ae5b3","datavalue":{"value":{"entity-type":"item","numeric-id":4372015,"id":"Q4372015"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$C7B2B027-F7AF-4974-B25A-BD0EB38DDBD7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cdba095a18fb124ec3012f4dbd1598c53b79bff0","datavalue":{"value":{"entity-type":"item","numeric-id":3696799,"id":"Q3696799"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$A648DC36-8156-4619-ADC7-59DD17FACB99","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"efc4b63cebf0765738bb7c4c87a82180c9d30d10","datavalue":{"value":{"entity-type":"item","numeric-id":2856469,"id":"Q2856469"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$B680A15E-0A87-4C29-AFC7-09E8ECAB501C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9fc88c4de622c15e2ba2244b4a61022ab9aa6b9b","datavalue":{"value":{"entity-type":"item","numeric-id":4721378,"id":"Q4721378"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$AF20B04F-2B63-4070-99E1-156EE4AC85E3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a4a7063829004c41e1f7a444e52f4703a68e0588","datavalue":{"value":{"entity-type":"item","numeric-id":5374080,"id":"Q5374080"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$F2D0E70D-F2C6-4D2E-93BA-7511775D9D98","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f6ba55498c5350e63b77b3bf2b7d2d001fe02ed0","datavalue":{"value":{"entity-type":"item","numeric-id":2859015,"id":"Q2859015"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$723DDFF1-24D6-43E8-B3BF-C7864079ECAD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7f587d922f0b31bad6ed41c0e4b5a53f96792127","datavalue":{"value":{"entity-type":"item","numeric-id":3860576,"id":"Q3860576"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$340062EB-FC77-4155-AAFB-0C1CDD52627E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"bc6b964092de05292bcb116cd4399b9a97c2a264","datavalue":{"value":{"entity-type":"item","numeric-id":3943774,"id":"Q3943774"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$FBB3A8BE-A37C-4ABA-B4AA-249D79235C86","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e7b11918b06dae205bbe7536ebc157e20b5c9eeb","datavalue":{"value":{"entity-type":"item","numeric-id":1305423,"id":"Q1305423"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$F4803BE1-D941-4640-B20F-24A9221FAE54","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6d334cbe99b6cb25ca7dab5b51a52703ec8f55cc","datavalue":{"value":{"entity-type":"item","numeric-id":2707188,"id":"Q2707188"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$06A9B127-0B73-4939-848C-520154567F97","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"902a3d99f6e72a52def72eab15fdd7fb253e2d49","datavalue":{"value":{"entity-type":"item","numeric-id":3135446,"id":"Q3135446"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$0CE068B7-84B8-4C00-B8E7-73FD50C4C395","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1ea67c6f78013434ca3c83dd755192767b9d050b","datavalue":{"value":{"entity-type":"item","numeric-id":4892262,"id":"Q4892262"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$48BEC701-74BA-45DB-B3BD-AEE36CCBBDEF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"97f7671b495c96fd596b36ce538fac99d24363e8","datavalue":{"value":{"entity-type":"item","numeric-id":5288926,"id":"Q5288926"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2483862$59692556-9764-4031-8B26-5D84ED2452ED","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"d8d91e98157492bcb1ffecb57aa0815acbd0619f","datavalue":{"value":"10.1016/J.SPL.2004.11.018","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2483862$A6F6829B-DF3F-4DFE-A1FC-C2402140E3E4","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b1905c9321725b65e3c1d271bb92bf6991ae1075","datavalue":{"value":{"entity-type":"item","numeric-id":1305423,"id":"Q1305423"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4956d62726595eb4a70ab955e0fee11306700193","datavalue":{"value":{"amount":"+0.96521115","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$B74E63BC-47F9-4D58-8092-DB3BB6C225A2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a877c6f4775a6ec9842f5484c2c3217ddcf56920","datavalue":{"value":{"entity-type":"item","numeric-id":300691,"id":"Q300691"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"facd16e77c343f546935926126619d29bcc2ae93","datavalue":{"value":{"amount":"+0.9487399","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$CA1751E2-BDD4-41CC-BC59-589AACA5B795","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"27b45c0d3cce4a7d1a6760d9c042b839ae21da26","datavalue":{"value":{"entity-type":"item","numeric-id":3639926,"id":"Q3639926"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5429e97e396bf81ba313facf61b2b1e92adf7974","datavalue":{"value":{"amount":"+0.92815906","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$642FE89D-479B-4874-A72E-ABD0E2B5E691","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"28ae13aa6b3066edd1c8ff85c8e0f3ffaaca7188","datavalue":{"value":{"entity-type":"item","numeric-id":941015,"id":"Q941015"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ec2380efad27a21a91a8197754396052c98733ff","datavalue":{"value":{"amount":"+0.89604914","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$C4415CC7-7134-400A-BB39-C484CE3C7BAF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7f9db628a056abafbe3ca28f4a85fd12263c0823","datavalue":{"value":{"entity-type":"item","numeric-id":5861401,"id":"Q5861401"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3986004b3928dee32d2c2792778c3466d7dc6867","datavalue":{"value":{"amount":"+0.89330184","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$D182B093-E79D-40E4-889A-E42A93B6C0FD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"747a21656ceda53908683e8f5a067cf36fe38a12","datavalue":{"value":{"entity-type":"item","numeric-id":2869978,"id":"Q2869978"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8847f51b4c5af79c5c12e2fbd792b65753d95ef6","datavalue":{"value":{"amount":"+0.89270765","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$B54ABF2E-D295-494D-8559-94D48396CA8B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a7766c1d834b13977993f5627453265b1951ab20","datavalue":{"value":{"entity-type":"item","numeric-id":1655765,"id":"Q1655765"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"43c4dcbc965827b2639cb7e456bf457a2f7b6f6c","datavalue":{"value":{"amount":"+0.88350874","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$66BD1289-12E9-40A8-8D94-3E6751E453CE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1a8586b81252fe7baecd4da18483a39feb13726b","datavalue":{"value":{"entity-type":"item","numeric-id":5473083,"id":"Q5473083"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2745b92ad7f9de960791f71ac525e812fc25a8a8","datavalue":{"value":{"amount":"+0.8794369","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$F24CABB1-5654-495E-A3F6-A46A1AD02D8C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"375f078ec2e1bca20dd7e10e64594f515afabc52","datavalue":{"value":{"entity-type":"item","numeric-id":5388680,"id":"Q5388680"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0bf636d55b867497cc8c59079c57e9e44d6c1b84","datavalue":{"value":{"amount":"+0.87863374","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2483862$E7BD1605-D92D-404C-89D8-4BCC5798E77E","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Saddlepoint approximations to option price in a general equilibrium model","badges":[]}}}}}