{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T11:41:39Z","timestamp":1740138099559,"version":"3.37.3"},"reference-count":46,"publisher":"Informa UK Limited","issue":"6","funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72271064"],"award-info":[{"award-number":["72271064"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"name":"Natural Science Foundation of Guangdong Province of China","award":["2022A1515011125"],"award-info":[{"award-number":["2022A1515011125"]}]}],"content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["International Journal of Computer Mathematics"],"published-print":{"date-parts":[[2024,6,2]]},"DOI":"10.1080\/00207160.2024.2357321","type":"journal-article","created":{"date-parts":[[2024,6,5]],"date-time":"2024-06-05T07:23:45Z","timestamp":1717572225000},"page":"577-600","update-policy":"https:\/\/doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":0,"title":["A novel term-structure-based Heston model for implied volatility surface"],"prefix":"10.1080","volume":"101","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8984-5733","authenticated-orcid":false,"given":"Youfa","family":"Sun","sequence":"first","affiliation":[{"name":"School of Economics, Guangdong University of Technology, Guangzhou, People\u2019s Republic of China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yishan","family":"Gong","sequence":"additional","affiliation":[{"name":"School of Economics, Guangdong University of Technology, Guangzhou, People\u2019s Republic of China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xinyuan","family":"Wang","sequence":"additional","affiliation":[{"name":"School of Economics, Guangdong University of Technology, Guangzhou, People\u2019s Republic of China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Caiyan","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Management, Guangdong University of Technology, Guangzhou, People\u2019s Republic of China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","published-online":{"date-parts":[[2024,6,5]]},"reference":[{"key":"e_1_3_3_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2018.09.006"},{"key":"e_1_3_3_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.07.006"},{"key":"e_1_3_3_4_1","volume-title":"The Volatility Surface: A Practitioner\u2019s Guide","author":"Gatheral J.","year":"2011","unstructured":"J. Gatheral, The Volatility Surface: A Practitioner\u2019s Guide, John Wiley & Sons, New York, NY, 2011."},{"key":"e_1_3_3_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_3_3_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2010.550931"},{"key":"e_1_3_3_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.819986"},{"issue":"1","key":"e_1_3_3_8_1","first-page":"25","article-title":"The extended SSVI volatility surface","volume":"22","author":"Hendriks S.","year":"2019","unstructured":"S. Hendriks, and C. Martini, The extended SSVI volatility surface. J. Comput. Finance 22(1) (2019), pp.\u00a025\u201339.","journal-title":"J. Comput. Finance"},{"key":"e_1_3_3_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2022.2117076"},{"key":"e_1_3_3_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_3_3_11_1","first-page":"84","article-title":"Managing smile risk","volume":"1","author":"Hagan P.S.","year":"2002","unstructured":"P.S. Hagan, D. Kumar, A.S. Lesniewski, and D.E. Woodward, Managing smile risk. Wilmott Mag. 1 (2002), pp. 84\u2013108.","journal-title":"Wilmott Mag."},{"key":"e_1_3_3_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"issue":"1","key":"e_1_3_3_13_1","first-page":"104143","article-title":"The equivalent constant-elasticity-of-variance volatility of the stochastic-alpha-beta-rho (SABR) model","volume":"128","author":"Jaehyuk C.","year":"2021","unstructured":"C. Jaehyuk, and W. Lixin, The equivalent constant-elasticity-of-variance volatility of the stochastic-alpha-beta-rho (SABR) model. Econ. Dyn. Control 128(1) (2021), pp.\u00a0104143.","journal-title":"Econ. Dyn. Control"},{"key":"e_1_3_3_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12124"},{"key":"e_1_3_3_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104374"},{"key":"e_1_3_3_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_3_3_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-006-0012-6"},{"key":"e_1_3_3_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2013.868631"},{"key":"e_1_3_3_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmaa.2016.10.039"},{"issue":"2","key":"e_1_3_3_20_1","first-page":"1","article-title":"Sentiment-driven mean reversion in the 4\/2 stochastic volatility model with jumps","volume":"39","author":"Cretarola A.","year":"2023","unstructured":"A. Cretarola, G. Fig\u00e0-Talamanca, and M. Patacca, Sentiment-driven mean reversion in the 4\/2 stochastic volatility model with jumps. Appl. Stoch. Models. Bus. Ind. 39(2) (2023), pp.\u00a01\u201325.","journal-title":"Appl. Stoch. Models. Bus. Ind."},{"key":"e_1_3_3_21_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_3_3_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.029"},{"key":"e_1_3_3_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12196"},{"key":"e_1_3_3_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22182"},{"key":"e_1_3_3_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11009-020-09834-6"},{"key":"e_1_3_3_26_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2020.3689"},{"key":"e_1_3_3_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa041"},{"key":"e_1_3_3_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12290"},{"key":"e_1_3_3_29_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2021.1999486"},{"key":"e_1_3_3_30_1","first-page":"213","article-title":"Derivatives as tradeable assets","volume":"2","author":"Lyons T.J.","year":"1997","unstructured":"T.J. Lyons, Derivatives as tradeable assets. Seminario de Matematica Financiera 2 (1997), pp. 213\u2013232.","journal-title":"Seminario de Matematica Financiera"},{"key":"e_1_3_3_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601087883"},{"key":"e_1_3_3_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.004"},{"key":"e_1_3_3_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1393551"},{"issue":"12","key":"e_1_3_3_34_1","first-page":"3247","article-title":"A study of behavioral option pricing based on the local structural perturbation method of eigenfunctions","volume":"42","author":"Sun Y.F.","year":"2022","unstructured":"Y.F. Sun, Y.H. Yao, Z.J. Qiu, et\u00a0al., A study of behavioral option pricing based on the local structural perturbation method of eigenfunctions. Syst. Eng. Theory Practice 42(12) (2022), pp.\u00a03247\u20133264.","journal-title":"Syst. Eng. Theory Practice"},{"issue":"1","key":"e_1_3_3_35_1","first-page":"451","article-title":"Maturity cycles in implied volatility","volume":"8","author":"Fouque J.P.","year":"2004","unstructured":"J.P. Fouque, G. Papanicolaou, R. Sircar, and K. Solna, Maturity cycles in implied volatility. Finance Stoch, 8(1) (2004), pp.\u00a0451\u2013477.","journal-title":"Finance Stoch,"},{"key":"e_1_3_3_36_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1882567"},{"key":"e_1_3_3_37_1","doi-asserted-by":"publisher","DOI":"10.1137\/090753814"},{"issue":"9","key":"e_1_3_3_38_1","first-page":"934-1","article-title":"The heston model with time-dependent correlation driven by isospectral flows","volume":"9","author":"Long T.","year":"2021","unstructured":"T. Long, The heston model with time-dependent correlation driven by isospectral flows. Mathematics 9(9) (2021), pp.\u00a0934-1\u2013934-8.","journal-title":"Mathematics"},{"key":"e_1_3_3_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.06.003"},{"key":"e_1_3_3_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.00958.x"},{"key":"e_1_3_3_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft004"},{"key":"e_1_3_3_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.03.002"},{"key":"e_1_3_3_43_1","volume-title":"Option Valuation Under Stochastic Volatility ii","author":"Lewis A.L.","year":"2009","unstructured":"A.L. Lewis, Option Valuation Under Stochastic Volatility ii, Finance Press, California, 2009."},{"key":"e_1_3_3_44_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1010080610650"},{"key":"e_1_3_3_45_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-11605-1"},{"key":"e_1_3_3_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21821"},{"key":"e_1_3_3_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20466"}],"container-title":["International Journal of Computer Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/00207160.2024.2357321","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T11:55:23Z","timestamp":1720698923000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/00207160.2024.2357321"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,6,2]]},"references-count":46,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2024,6,2]]}},"alternative-id":["10.1080\/00207160.2024.2357321"],"URL":"https:\/\/doi.org\/10.1080\/00207160.2024.2357321","relation":{},"ISSN":["0020-7160","1029-0265"],"issn-type":[{"type":"print","value":"0020-7160"},{"type":"electronic","value":"1029-0265"}],"subject":[],"published":{"date-parts":[[2024,6,2]]},"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":"2024-01-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-05-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-06-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}