{"entities":{"Q385653":{"pageid":387420,"ns":120,"title":"Item:Q385653","lastrevid":61441752,"modified":"2026-04-10T23:23:39Z","type":"item","id":"Q385653","labels":{"en":{"language":"en","value":"A lattice model for option pricing under GARCH-jump processes"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6235246"}},"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":"Q385653$62321080-7389-418A-8C44-F7215798207A","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"e389540beeb40c0f64fd2fea81bccfe156f003b4","datavalue":{"value":{"text":"A lattice model for option pricing under GARCH-jump processes","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q385653$A83097F9-3F29-44AB-AAC9-B349E719086F","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"6bace2fadbb8ae8c5212025941cdfa453758566c","datavalue":{"value":"1312.91088","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$F86B26A5-8F09-4C59-B36C-8C24F486D708","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"36f5875822d77e717158ea98a9a4fc40d4fe1978","datavalue":{"value":{"entity-type":"item","numeric-id":385649,"id":"Q385649"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$B8B8881F-ADCC-46D9-867F-29934A4A11C1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"7c5df5fccc3c3496925dea2108542ef315773223","datavalue":{"value":{"entity-type":"item","numeric-id":385650,"id":"Q385650"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$8863E773-A692-4F64-A6F8-C653618D67F4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"0abed43896c68e1a68bc292c6bac0ee251be9150","datavalue":{"value":{"entity-type":"item","numeric-id":385651,"id":"Q385651"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$3297C022-F5C0-4A16-BC0D-8BBC78441935","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"719b7368e511231f19e7943248e1d4a3d064b1d0","datavalue":{"value":{"entity-type":"item","numeric-id":385652,"id":"Q385652"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$EED1AAAD-086E-47FB-8F2A-2DF5924D4652","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"b7b1409059d6cbc553834a299852b011d6de72b8","datavalue":{"value":{"entity-type":"item","numeric-id":244006,"id":"Q244006"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$4219414D-F160-4FAC-B307-748026FE290E","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"7512ae73b6d20a7027c802c69a571fc3a05b2e5c","datavalue":{"value":{"time":"+2013-12-02T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q385653$89DCAD82-EBE8-45E1-A646-27D5DA4AA450","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"f2e4581fe80d2b51fdaf7d6f1b0be4192ec4b6c1","datavalue":{"value":"The authors generalize a GARCH-jump lattice model extending the well-known GARCH option pricing tree developed by \\textit{P. Ritchken} and \\textit{R. Trevor} [``Pricing options under generalized GARCH and stochastic volatility processes'', J. Finance 54, 366--402 (1999)] by including a jump process. The method is developed and the authors claim that it is an efficient option that outworks the Monte Carlo simulation approach. Their claim is supported by numerical results on the pricing of European options. A couple of appendices provide details on some proofs.","type":"string"},"datatype":"string"},"type":"statement","id":"Q385653$D65B24C1-0CB0-49F6-B782-7C6A9D59750E","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"e146cd479742131190191fb6e4c868c8b1c80b43","datavalue":{"value":{"entity-type":"item","numeric-id":591644,"id":"Q591644"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$25AC7252-2D22-4819-940C-9BB0314BB981","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$5C9B52F0-5A99-4991-9358-4481BF70DE6D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"5aebd1e2f37ac7804756da25eed3c017810ad161","datavalue":{"value":"91G70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$40EFF64F-A58C-4579-B190-BEDA2FE4BA58","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"325e035d1812352c3a83010cdc35176514b19a00","datavalue":{"value":"91B84","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$B389E048-237C-4DBD-A566-A972070DEE78","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"8ecced8801d0b1ed003033234c0e2db653c557a0","datavalue":{"value":"6235246","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$9BE10F3C-F1FF-4980-8A3A-84B8E01E3D2A","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"18fcee6b4a8f74d5f1dbaa98933a38dac6e2c4f3","datavalue":{"value":"GARCH-jump process","type":"string"},"datatype":"string"},"type":"statement","id":"Q385653$61806D16-B0F7-45F7-94C1-87EC9394F32B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b1f2ddce604924ab32527569a0f52666c50cc2ec","datavalue":{"value":"option pricing","type":"string"},"datatype":"string"},"type":"statement","id":"Q385653$5333B49F-1BFC-4510-BF01-836E81FF16DC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"df7d2165dbfa8a3022b0214316caac31d861d661","datavalue":{"value":"lattice model","type":"string"},"datatype":"string"},"type":"statement","id":"Q385653$225614C6-0613-487D-A13A-58B2E19E6C2B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e200a3928532091c3a03c6b3164f6348e05c6572","datavalue":{"value":"GARCH process","type":"string"},"datatype":"string"},"type":"statement","id":"Q385653$ED6DD1C0-6B1D-4949-9D4B-74F7F8E9D149","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"afbe4becc0f15d97482f8a1d30ddbf6486fe4dc4","datavalue":{"value":"jump-diffusion process","type":"string"},"datatype":"string"},"type":"statement","id":"Q385653$D5026A7A-4AB9-4B38-9104-07B42FA3E8A0","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$F5B5F547-EFAD-4930-BE07-67DD12C87B82","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"f3fd384d79bc64b3e89c68d1568f29b868e19660","datavalue":{"value":"https://doi.org/10.1007/s11147-012-9087-8","type":"string"},"datatype":"url"},"type":"statement","id":"Q385653$D609D487-72FC-43D2-B5F6-954C85598C3C","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"00336e13e9dd5774a57caaca41b5662b9aea4a81","datavalue":{"value":"W1969392474","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$61397332-A620-40A7-B442-71C12DB9AE0A","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"f9fa63152583e1cff730ff84cce0f321fa2bde8f","datavalue":{"value":{"entity-type":"item","numeric-id":1969824,"id":"Q1969824"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$DAF4EFBA-517B-4D37-B8A9-B499C747B439","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"888e1288d3eed95ec5195a086d27a15757781772","datavalue":{"value":{"entity-type":"item","numeric-id":1969818,"id":"Q1969818"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$ED7E8EAF-D60D-458F-8EC8-6EFAF129E213","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d458f9d40a2164b904160bd3a427cd146dacea7","datavalue":{"value":{"entity-type":"item","numeric-id":136004,"id":"Q136004"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$AAE0F434-E259-4059-B5E2-2004CBE35079","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1dd49b833dd742d611c19e0150bea1fd33444adc","datavalue":{"value":{"entity-type":"item","numeric-id":1821471,"id":"Q1821471"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$4DA5ED08-86FC-4C24-8D4A-38F70EE2E22B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b98bce63a2ab9916890f13d446ecf078d4e430c5","datavalue":{"value":{"entity-type":"item","numeric-id":1398979,"id":"Q1398979"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$FC76B994-D624-4D21-9079-DE8B6CA5BC72","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"85f7f23c1564dba94fc6d4aedc21081b57272939","datavalue":{"value":{"entity-type":"item","numeric-id":5455556,"id":"Q5455556"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$0DBFEE94-D777-47B8-956E-5E0955BD7DCF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"56fad00ef4a07491ba304a924bc19d8a5132595f","datavalue":{"value":{"entity-type":"item","numeric-id":3125789,"id":"Q3125789"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$2F52FDEC-A873-4E46-8075-F463953CB67E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c72720a3fda2e5fc5920a062ffa3de1be3a37af4","datavalue":{"value":{"entity-type":"item","numeric-id":5472775,"id":"Q5472775"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$0DE859FB-522E-47BC-8173-69BE8BE0EB6B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9a224e226e0cc5829a98aab8619cd2bb1b69712a","datavalue":{"value":{"entity-type":"item","numeric-id":3953065,"id":"Q3953065"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$D98BF52A-92AB-4F08-8A7D-A1C12D8362E4","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":"Q385653$F2F580E5-48A3-4ED2-9B22-BAAFCAD6F1B0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ac83d39296d360b44cbee1a177a15c291bcc4e4d","datavalue":{"value":{"entity-type":"item","numeric-id":3989142,"id":"Q3989142"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$3E2C1BEF-4600-4430-9105-9B87B9B8A877","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"05b757930189ff72f449b9f9dad4a7865d3f627d","datavalue":{"value":{"entity-type":"item","numeric-id":5452379,"id":"Q5452379"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$FA0C9C84-AB15-47A6-95B7-5876269F58E9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"da2986a3e099bbf8f39aa572324ce45ca4d94a8e","datavalue":{"value":{"entity-type":"item","numeric-id":3210032,"id":"Q3210032"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$EFFB793E-F992-47DA-BA74-BA155E295CF9","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":"Q385653$9709807B-49B3-44A6-88EE-3747FD19F815","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cf909cf9b78355b076ee13da895702aa697de086","datavalue":{"value":{"entity-type":"item","numeric-id":5374083,"id":"Q5374083"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$D9D68343-9D53-4784-B576-00EC8C77AFD4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fd82baae201f9389e631c6e16c83eecff684ce2f","datavalue":{"value":{"entity-type":"item","numeric-id":5894596,"id":"Q5894596"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q385653$095D36D2-E668-488E-BFD6-BEB1039E5440","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"c6eb1b07a6e24ae133567cc1e8b69128d497c787","datavalue":{"value":"10.1007/S11147-012-9087-8","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q385653$E670C32B-B9DF-4C8A-A46F-D16B908C7CDF","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"41d4de30e6c8f8745aef9c8db94c9ab19828d379","datavalue":{"value":{"entity-type":"item","numeric-id":5051199,"id":"Q5051199"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"aaf2518b9ed73f6dfb8aa76b6641e27f595c82eb","datavalue":{"value":{"amount":"+0.8433022499084473","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":"Q385653$B09B7954-D1EE-4FF0-BD32-C889D8D68A41","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"287515c996f715e177cf0c4eb9901278b2463dc4","datavalue":{"value":{"entity-type":"item","numeric-id":5472775,"id":"Q5472775"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f69541a45cd1ed54a3697db55f6bb4eda1eec749","datavalue":{"value":{"amount":"+0.7988868951797485","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q385653$B26D3CDA-55F3-48FB-B98E-739CB80645D5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ad7d58e631fadbd79f2d36d71790cea511660f0c","datavalue":{"value":{"entity-type":"item","numeric-id":1994170,"id":"Q1994170"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f11250fab002d4b13d3bbc6f004704ca5108a40b","datavalue":{"value":{"amount":"+0.7563546299934387","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":"Q385653$D5B419A8-96B1-4E9F-B256-6ACEBBB10B8F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1d3b72025ec47ffe32adca5f5985d21a4688577f","datavalue":{"value":{"entity-type":"item","numeric-id":741895,"id":"Q741895"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bbd5d95ae02d0094e51c1b87ff2e121e428696a2","datavalue":{"value":{"amount":"+0.7391163110733032","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":"Q385653$11C0F636-2918-44E8-8C7B-73D891507B3C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"30dfe52729e727de0155c9c9a1d09c730817fee3","datavalue":{"value":{"entity-type":"item","numeric-id":3125789,"id":"Q3125789"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"46bdbe1de0ba936df6869061bdaec48d54267c06","datavalue":{"value":{"amount":"+0.7336398363113403","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q385653$D22B1F72-870D-4BD9-A691-9A2226C5A72C","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"A lattice model for option pricing under GARCH-jump processes","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/A_lattice_model_for_option_pricing_under_GARCH-jump_processes"}}}}}