Class information for:
Level 1: OPTION PRICING//AMERICAN OPTIONS//STOCHASTIC VOLATILITY

Basic class information
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
14 4 MATHEMATICS//MATHEMATICS, APPLIED//MATH 912822
424 3       BUSINESS, FINANCE//INSURANCE MATHEMATICS & ECONOMICS//OPTION PRICING 29904
653 2             OPTION PRICING//BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//REAL OPTIONS 13895
630 1                   OPTION PRICING//AMERICAN OPTIONS//STOCHASTIC VOLATILITY 3247

Terms with highest relevance score


rank Category termType chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 OPTION PRICING authKW 2132323 14% 48% 455
2 AMERICAN OPTIONS authKW 1011570 6% 54% 194
3 STOCHASTIC VOLATILITY authKW 741085 8% 29% 259
4 IMPLIED VOLATILITY authKW 501569 3% 46% 113
5 BARRIER OPTIONS authKW 475569 3% 56% 88
6 ASIAN OPTIONS authKW 400314 2% 54% 76
7 VARIANCE SWAPS authKW 381775 1% 91% 43
8 JOURNAL OF FUTURES MARKETS journal 356522 8% 14% 254
9 BUSINESS, FINANCE WoSSC 350047 49% 2% 1589
10 QUANTITATIVE FINANCE journal 337638 7% 16% 217

Web of Science journal categories


chi_square_rank Category chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 Business, Finance 350047 49% 2% 1589
2 Social Sciences, Mathematical Methods 65927 18% 1% 574
3 Economics 37883 37% 0% 1202
4 Mathematics, Interdisciplinary Applications 24917 20% 0% 654
5 Mathematics, Applied 9932 23% 0% 738
6 Statistics & Probability 5549 11% 0% 341
7 Operations Research & Management Science 3032 7% 0% 238
8 Management 592 3% 0% 110
9 Mathematics 160 5% 0% 152
10 Agricultural Economics & Policy 94 0% 0% 14

Address terms


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 FINANCE 75611 8% 3% 271
2 ADV STUDIES FINANCE 60636 0% 42% 15
3 CONTROL INCOMPLETE INFORMAT 58227 0% 100% 6
4 UNIV ECON SOCIAL ANAL 38818 0% 100% 4
5 BLOOMBERG LP COURANT 29114 0% 100% 3
6 DERIVAT VALIDAT GRP 29114 0% 100% 3
7 DIPARTIMENTO SCI SOCIALI D SERRANI 26409 0% 39% 7
8 MATH INGN FINANCIERE 25876 0% 67% 4
9 FINANCIAL ENGN 22681 1% 8% 29
10 ECON SCI QUANTITAT METHODS SEMEQ 21834 0% 75% 3

Journals


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 JOURNAL OF FUTURES MARKETS 356522 8% 14% 254
2 QUANTITATIVE FINANCE 337638 7% 16% 217
3 JOURNAL OF COMPUTATIONAL FINANCE 318573 2% 48% 69
4 JOURNAL OF DERIVATIVES 250307 2% 34% 75
5 REVIEW OF DERIVATIVES RESEARCH 217030 1% 47% 48
6 MATHEMATICAL FINANCE 160314 3% 17% 97
7 SIAM JOURNAL ON FINANCIAL MATHEMATICS 137660 2% 24% 58
8 FINANCE AND STOCHASTICS 94147 2% 15% 65
9 JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 40629 2% 5% 80
10 JOURNAL OF BANKING & FINANCE 27905 4% 3% 114

Author Key Words


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass LCSH search Wikipedia search
1 OPTION PRICING 2132323 14% 48% 455 Search OPTION+PRICING Search OPTION+PRICING
2 AMERICAN OPTIONS 1011570 6% 54% 194 Search AMERICAN+OPTIONS Search AMERICAN+OPTIONS
3 STOCHASTIC VOLATILITY 741085 8% 29% 259 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY
4 IMPLIED VOLATILITY 501569 3% 46% 113 Search IMPLIED+VOLATILITY Search IMPLIED+VOLATILITY
5 BARRIER OPTIONS 475569 3% 56% 88 Search BARRIER+OPTIONS Search BARRIER+OPTIONS
6 ASIAN OPTIONS 400314 2% 54% 76 Search ASIAN+OPTIONS Search ASIAN+OPTIONS
7 VARIANCE SWAPS 381775 1% 91% 43 Search VARIANCE+SWAPS Search VARIANCE+SWAPS
8 BLACK SCHOLES EQUATION 288674 2% 50% 59 Search BLACK+SCHOLES+EQUATION Search BLACK+SCHOLES+EQUATION
9 HESTON MODEL 282936 2% 54% 54 Search HESTON+MODEL Search HESTON+MODEL
10 RISK NEUTRAL DENSITY 228207 1% 87% 27 Search RISK+NEUTRAL+DENSITY Search RISK+NEUTRAL+DENSITY

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.

Classes with closest relation at Level 1


rank cluster_id2 link
1 26202 SWING OPTIONS//BERMUDAN OPTIONS//AMERICAN OPTIONS
2 25429 VARIABLE ANNUITIES//SURRENDER OPTION//PARISIAN OPTIONS
3 20081 OPTIMAL STOPPING//SKOROKHOD EMBEDDING PROBLEM//MAXIMUM PROCESS
4 37739 CONTINGENT CAPITAL//EQUITY FOR GUARANTEE SWAP//CONTINGENT CONVERTIBLES
5 3039 TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS
6 1003 REALIZED VOLATILITY//HIGH FREQUENCY DATA//VALUE AT RISK
7 7123 INCOMPLETE MARKETS//FINANCE AND STOCHASTICS//FUNDAMENTAL THEOREM OF ASSET PRICING
8 35810 STRUCTURED PRODUCTS//GERMAN MARKET//SPDR GOLD SHARES
9 19107 CONVENIENCE YIELD//ELECTRICITY SPOT PRICE//THEORY OF STORAGE
10 28672 DYNAMIC FUZZY SYSTEM//FUZZY EXPECTATION//FUZZY REWARD

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