FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES (Q3523594): Difference between revisions
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| Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank | |||
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| Property / cites work: Financial modeling in a fast mean-reverting stochastic volatility environment / rank | |||
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| Property / cites work | |||
| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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| Property / cites work: Variational inequalities and the pricing of American options / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024901001139 / rank | |||
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| Property / OpenAlex ID: W2027031782 / rank | |||
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Latest revision as of 09:23, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES |
scientific article |
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FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES (English)
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3 September 2008
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Black--Scholes model
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American put options
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stochastic volatility model
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mean-reversion
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