{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,10,2]],"date-time":"2023-10-02T20:51:09Z","timestamp":1696279869388},"reference-count":17,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2011,1]]},"DOI":"10.1137\/100803614","type":"journal-article","created":{"date-parts":[[2011,9,16]],"date-time":"2011-09-16T06:23:43Z","timestamp":1316154223000},"page":"665-691","source":"Crossref","is-referenced-by-count":12,"title":["Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models"],"prefix":"10.1137","volume":"2","author":[{"given":"Jean-Pierre","family":"Fouque","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sebastian","family":"Jaimungal","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Matthew J.","family":"Lorig","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"351","reference":[{"key":"R3","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"R6","doi-asserted-by":"crossref","first-page":"15","DOI":"10.3905\/jpm.1996.015","volume":"22","author":"Cox J.","year":"1996","journal-title":"J. Portfolio Manag."},{"key":"R7","doi-asserted-by":"crossref","first-page":"55","DOI":"10.21314\/JCF.2001.090","volume":"5","author":"Davydov D.","year":"2001","journal-title":"J. Comput. Finance"},{"key":"R8","doi-asserted-by":"publisher","DOI":"10.1287\/opre.51.2.185.12782"},{"key":"R9","doi-asserted-by":"publisher","DOI":"10.1137\/090761458"},{"key":"R12","doi-asserted-by":"publisher","DOI":"10.1137\/S0036139902401082"},{"key":"R14","doi-asserted-by":"publisher","DOI":"10.1080\/13504860600563127"},{"key":"R17","first-page":"84","author":"Hagan P. S.","year":"2002","journal-title":"Wilmott Magazine"},{"key":"R19","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"R20","doi-asserted-by":"publisher","DOI":"10.1016\/S0731-9053(05)20025-7"},{"key":"R22","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"R23","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00059"},{"key":"R25","first-page":"85","author":"Linetsky V.","year":"2002","journal-title":"Risk Magazine"},{"key":"R26","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024904002451"},{"key":"R27","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2010.00411.x"},{"key":"R28","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-008-0077-5"},{"key":"R30","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050005"}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/100803614","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2017,6,20]],"date-time":"2017-06-20T06:24:41Z","timestamp":1497939881000},"score":1,"resource":{"primary":{"URL":"http:\/\/epubs.siam.org\/doi\/10.1137\/100803614"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,1]]},"references-count":17,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,1]]}},"alternative-id":["10.1137\/100803614"],"URL":"https:\/\/doi.org\/10.1137\/100803614","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,1]]}}}