FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
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Publication:3523594
DOI10.1142/S0219024901001139zbMath1153.91495OpenAlexW2027031782MaRDI QIDQ3523594
Jean-Pierre Fouque, K. Ronnie Sircar, George S. Papanicolaou
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901001139
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