FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES

DOI10.1142/S0219024901001139zbMath1153.91495MaRDI 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

zbMATH Keywords

mean-reversion; stochastic volatility model; American put options; Black--Scholes model

Mathematics Subject Classification ID

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Cites Work

• Variational inequalities and the pricing of American options
• Financial modeling in a fast mean-reverting stochastic volatility environment
• MEAN-REVERTING STOCHASTIC VOLATILITY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options