{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T12:17:18Z","timestamp":1772799438986,"version":"3.50.1"},"reference-count":22,"publisher":"Informa UK Limited","issue":"2","content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["International Journal of Computer Mathematics"],"published-print":{"date-parts":[[2022,2,1]]},"DOI":"10.1080\/00207160.2021.1925114","type":"journal-article","created":{"date-parts":[[2021,5,5]],"date-time":"2021-05-05T17:26:58Z","timestamp":1620235618000},"page":"227-239","update-policy":"https:\/\/doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":3,"title":["Valuation of European options with stochastic interest rates and transaction costs"],"prefix":"10.1080","volume":"99","author":[{"given":"Jiling","family":"Cao","sequence":"first","affiliation":[{"name":"Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand"}]},{"given":"Biyuan","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7992-8204","authenticated-orcid":false,"given":"Wenjun","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand"}]}],"member":"301","published-online":{"date-parts":[[2021,5,18]]},"reference":[{"key":"CIT0001","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"CIT0002","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-23413-7_13"},{"key":"CIT0003","doi-asserted-by":"publisher","DOI":"10.1002\/9781119121534"},{"key":"CIT0004","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"CIT0005","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00075.x"},{"key":"CIT0006","volume-title":"The Volatility Surface: A Practitioner's Guide","author":"Gatheral J.","year":"2011"},{"key":"CIT0007","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00121.x"},{"key":"CIT0008","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"CIT0009","first-page":"222","volume":"8","author":"Hodges S.","year":"1989","journal-title":"Rev. Futures Markets"},{"key":"CIT0010","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050023"},{"key":"CIT0011","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02383.x"},{"key":"CIT0012","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2007.05.001"},{"key":"CIT0013","unstructured":"E L\u00e9pinette, March\u00e9 avec c\u00f4uts de transaction: Approximation de Leland et arbitrage, These doctorale, Universit\u00e9 de Franche-Comt\u00e9, Besan\u00e7on, 2008."},{"key":"CIT0014","unstructured":"E L\u00e9pinette, Leland's approximations for concave pay-off functions, Tech. Rep., Paris Dauphine University, 2009."},{"key":"CIT0015","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1032548"},{"key":"CIT0016","doi-asserted-by":"crossref","unstructured":"T.H. Nguyen and S. Pergamenschchikov, Approximate hedging with proportional transaction costs in stochastic volatility models with jumps, Preprint (2015). Available at arXiv:1505.02627.","DOI":"10.1111\/mafi.12094"},{"key":"CIT0017","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12094"},{"key":"CIT0018","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2014.881263"},{"key":"CIT0019","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4296-1"},{"key":"CIT0020","unstructured":"B Wang, Option pricing under the Heston-CIR model with stochastic interest rates and transaction costs, Master's thesis, Auckland University of Technology, New Zealand, 2019."},{"key":"CIT0021","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2007.04.003"},{"key":"CIT0022","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2006.09.002"}],"container-title":["International Journal of Computer Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/00207160.2021.1925114","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,3,9]],"date-time":"2022-03-09T07:11:33Z","timestamp":1646809893000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/00207160.2021.1925114"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,5,18]]},"references-count":22,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,2,1]]}},"alternative-id":["10.1080\/00207160.2021.1925114"],"URL":"https:\/\/doi.org\/10.1080\/00207160.2021.1925114","relation":{},"ISSN":["0020-7160","1029-0265"],"issn-type":[{"value":"0020-7160","type":"print"},{"value":"1029-0265","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,5,18]]},"assertion":[{"value":"The publishing and review policy for this title is described in its Aims & Scope.","order":1,"name":"peerreview_statement","label":"Peer Review Statement"},{"value":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=gcom20","URL":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=gcom20","order":2,"name":"aims_and_scope_url","label":"Aim & Scope"},{"value":"2019-12-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-09-12","order":1,"name":"revised","label":"Revised","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-09-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-18","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}