{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,3]],"date-time":"2026-07-03T17:21:19Z","timestamp":1783099279069,"version":"3.54.6"},"reference-count":30,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"},{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/legal\/tdmrep-license"},{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-017"},{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-037"},{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-012"},{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-029"},{"start":{"date-parts":[[2026,12,1]],"date-time":"2026-12-01T00:00:00Z","timestamp":1796083200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-004"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["12161029"],"award-info":[{"award-number":["12161029"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["246Z7608G"],"award-info":[{"award-number":["246Z7608G"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["elsevier.com","sciencedirect.com"],"crossmark-restriction":true},"short-container-title":["Journal of Computational and Applied Mathematics"],"published-print":{"date-parts":[[2026,12]]},"DOI":"10.1016\/j.cam.2026.117796","type":"journal-article","created":{"date-parts":[[2026,5,22]],"date-time":"2026-05-22T06:56:50Z","timestamp":1779433010000},"page":"117796","update-policy":"https:\/\/doi.org\/10.1016\/elsevier_cm_policy","source":"Crossref","is-referenced-by-count":0,"special_numbering":"C","title":["Pricing one-cliquet option under jump diffusion model with stochastic volatility and stochastic intensity"],"prefix":"10.1016","volume":"488","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2475-1808","authenticated-orcid":false,"given":"Huili","family":"Liu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Cuixiang","family":"Li","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ruizhe","family":"Zhang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"3","key":"10.1016\/j.cam.2026.117796_bib0001","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","article-title":"The pricing of options and corporate liabilities","volume":"81","author":"Black","year":"1973","journal-title":"J. Polit. Econ."},{"issue":"4","key":"10.1016\/j.cam.2026.117796_bib0002","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2330793","article-title":"Option pricing when the variance changes randomly: theory, estimation, and an application","volume":"22","author":"Scott","year":"1987","journal-title":"J. Financ. Quant. Anal."},{"issue":"2","key":"10.1016\/j.cam.2026.117796_bib0003","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","article-title":"The pricing of options on assets with stochastic volatilities","volume":"42","author":"Hull","year":"1987","journal-title":"J. Finance"},{"issue":"2","key":"10.1016\/j.cam.2026.117796_bib0004","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1016\/0304-405X(87)90009-2","article-title":"Option values under stochastic volatilities","volume":"19","author":"Wiggins","year":"1987","journal-title":"J. Financ. Econ."},{"issue":"4","key":"10.1016\/j.cam.2026.117796_bib0005","doi-asserted-by":"crossref","first-page":"727","DOI":"10.1093\/rfs\/4.4.727","article-title":"Stock price distributions with stochastic volatility: an analytical approach","volume":"4","author":"Stein","year":"1991","journal-title":"Rev. Financ. Stud."},{"issue":"2","key":"10.1016\/j.cam.2026.117796_bib0006","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","article-title":"A closed-form solution for options with stochastic volatility with applications to bond and currency options","volume":"6","author":"Heston","year":"1993","journal-title":"Rev. Financ. Stud."},{"key":"10.1016\/j.cam.2026.117796_bib0007","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1016\/j.chaos.2016.01.026","article-title":"A closed form solution for vulnerable options with Heston\u2019s stochastic volatility","volume":"86","author":"Lee","year":"2016","journal-title":"Chaos Solit. Fractals"},{"key":"10.1016\/j.cam.2026.117796_bib0008","doi-asserted-by":"crossref","DOI":"10.1016\/j.chaos.2020.110644","article-title":"A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model","volume":"144","author":"Lin","year":"2021","journal-title":"Chaos Solit. Fractals"},{"issue":"3","key":"10.1016\/j.cam.2026.117796_bib0009","doi-asserted-by":"crossref","first-page":"606","DOI":"10.1017\/S0269964820000698","article-title":"A closed-form pricing formula for european exchange options with stochastic volatility","volume":"36","author":"Pasricha","year":"2022","journal-title":"Probab. Eng. Inf. Sci."},{"issue":"1","key":"10.1016\/j.cam.2026.117796_bib0010","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1016\/j.aml.2012.07.008","article-title":"An analytic pricing formula for lookback options under stochastic volatility","volume":"26","author":"Leung","year":"2013","journal-title":"Appl. Math. Lett."},{"key":"10.1016\/j.cam.2026.117796_bib0011","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.najef.2019.03.014","article-title":"Approximate analytic solution for asian options with stochastic volatility","volume":"54","author":"Lin","year":"2020","journal-title":"N. Am. J. Econ. Finance"},{"issue":"1-2","key":"10.1016\/j.cam.2026.117796_bib0012","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/0304-405X(76)90022-2","article-title":"Option pricing when underlying stock returns are discontinuous","volume":"3","author":"Merton","year":"1976","journal-title":"J. Financ. Econ."},{"issue":"8","key":"10.1016\/j.cam.2026.117796_bib0013","doi-asserted-by":"crossref","first-page":"1086","DOI":"10.1287\/mnsc.48.8.1086.166","article-title":"A jump-diffusion model for option pricing","volume":"48","author":"Kou","year":"2002","journal-title":"Manag. Sci."},{"issue":"11","key":"10.1016\/j.cam.2026.117796_bib0014","doi-asserted-by":"crossref","first-page":"2067","DOI":"10.1287\/mnsc.1110.1393","article-title":"Option pricing under a mixed-exponential jump diffusion model","volume":"57","author":"Cai","year":"2011","journal-title":"Manag. Sci."},{"issue":"3","key":"10.1016\/j.cam.2026.117796_bib0015","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1080\/00207160.2024.2327612","article-title":"Forward starting options pricing under a regime-switching jump-diffusion model with wishart stochastic volatility and stochastic interest rate","volume":"101","author":"Deng","year":"2024","journal-title":"Int. J. Comput. Math."},{"key":"10.1016\/j.cam.2026.117796_bib0016","doi-asserted-by":"crossref","DOI":"10.1016\/j.chaos.2022.112003","article-title":"Valuation of european-style vulnerable options under the non-affine stochastic volatility and double exponential jump","volume":"158","author":"Huang","year":"2022","journal-title":"Chaos Solit. Fractals"},{"key":"10.1016\/j.cam.2026.117796_bib0017","doi-asserted-by":"crossref","first-page":"152","DOI":"10.1016\/j.cam.2013.12.009","article-title":"Option pricing using the fast fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity","volume":"263","author":"Huang","year":"2014","journal-title":"J. Comput. Appl. Math."},{"key":"10.1016\/j.cam.2026.117796_bib0018","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1016\/j.amc.2019.02.063","article-title":"Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity","volume":"355","author":"Yang","year":"2019","journal-title":"Appl. Math. Comput."},{"issue":"2","key":"10.1016\/j.cam.2026.117796_bib0019","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1007\/s40304-022-00287-6","article-title":"Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity","volume":"12","author":"Duan","year":"2024","journal-title":"Commun. Math. Stat."},{"key":"10.1016\/j.cam.2026.117796_bib0020","doi-asserted-by":"crossref","first-page":"99","DOI":"10.3905\/jod.1997.407987","article-title":"Valuing S&P 500 bear market reset warrants with a periodic reset","volume":"5","author":"Gray","year":"1997","journal-title":"J. Deriv."},{"key":"10.1016\/j.cam.2026.117796_bib0021","first-page":"67","article-title":"Smile dynamics II","author":"Bergomi","year":"2005","journal-title":"Risk"},{"key":"10.1016\/j.cam.2026.117796_bib0022","first-page":"90","article-title":"Smile dynamics iii","author":"Bergomi","year":"2008","journal-title":"Risk"},{"key":"10.1016\/j.cam.2026.117796_bib0023","series-title":"Exotic Options","volume":"102","author":"Zhang","year":"1997"},{"issue":"3","key":"10.1016\/j.cam.2026.117796_bib0024","first-page":"317","article-title":"Cliquet option pricing in a jump-diffusion L\u00e9vy model","volume":"5","author":"Hess","year":"2018","journal-title":"Mod. Stoch.: Theory Appl."},{"issue":"2","key":"10.1016\/j.cam.2026.117796_bib0025","first-page":"163","article-title":"A few insights into cliquet options","volume":"17","author":"Guillaume","year":"2012","journal-title":"Int. J. Bus."},{"issue":"3","key":"10.1016\/j.cam.2026.117796_bib0026","first-page":"1","article-title":"Pricing of one-clique options with default risks","volume":"34","author":"Sun","year":"2018","journal-title":"J. Shangqiu Norm. Univ."},{"key":"10.1016\/j.cam.2026.117796_bib0027","series-title":"Pricing vulnerable one-clique option in incomplete market","author":"Qiu","year":"2019"},{"issue":"5","key":"10.1016\/j.cam.2026.117796_bib0028","first-page":"620","article-title":"Pricing lockup options under generalized hyperbolic model","volume":"37","author":"He","year":"2021","journal-title":"J. Harbin Univ. Commer."},{"key":"10.1016\/j.cam.2026.117796_bib0029","article-title":"Stochastic Calculus for Finance II: Continuous-Time Models","author":"Shreve","year":"2004"},{"issue":"3-4","key":"10.1016\/j.cam.2026.117796_bib0030","doi-asserted-by":"crossref","first-page":"481","DOI":"10.1093\/biomet\/38.3-4.481","article-title":"Note on the inversion theorem","volume":"38","author":"Gil-Pelaez","year":"1951","journal-title":"Biometrika"}],"container-title":["Journal of Computational and Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0377042726004383?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0377042726004383?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2026,7,3]],"date-time":"2026-07-03T16:45:35Z","timestamp":1783097135000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0377042726004383"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,12]]},"references-count":30,"alternative-id":["S0377042726004383"],"URL":"https:\/\/doi.org\/10.1016\/j.cam.2026.117796","relation":{},"ISSN":["0377-0427"],"issn-type":[{"value":"0377-0427","type":"print"}],"subject":[],"published":{"date-parts":[[2026,12]]},"assertion":[{"value":"Elsevier","name":"publisher","label":"This article is maintained by"},{"value":"Pricing one-cliquet option under jump diffusion model with stochastic volatility and stochastic intensity","name":"articletitle","label":"Article Title"},{"value":"Journal of Computational and Applied Mathematics","name":"journaltitle","label":"Journal Title"},{"value":"https:\/\/doi.org\/10.1016\/j.cam.2026.117796","name":"articlelink","label":"CrossRef DOI link to publisher maintained version"},{"value":"article","name":"content_type","label":"Content Type"},{"value":"\u00a9 2026 Elsevier B.V. All rights are reserved, including those for text and data mining, AI training, and similar technologies.","name":"copyright","label":"Copyright"}],"article-number":"117796"}}