FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES (Q3523594): Difference between revisions
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Latest revision as of 08:23, 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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