A multiscale correction to the Black-Scholes formula

DOI10.1002/ASMB.2006MaRDI QIDQ6571884FDOQ6571884

Authors: Jeong-Hoon Kim, Jung Woo Lee, Song-Ping Zhu, Seok-Hyon Yu 

Publication date: 12 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

asymptoticsmultiscaleimplied volatilityBlack-Scholes formulastochastic elasticity of variance

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• A jump to default extended CEV model: an application of Bessel processes
• Asymptotic theory of noncentered mixing stochastic differential equations
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• Lookback options and diffusion hitting times: a spectral expansion approach
• Frequency Content of Randomly Scattered Signals
• Consistent pricing and hedging for a modified constant elasticity of variance model

Cited In (3)

• Foreign exchange rate volatility smiles and smirks
• A Mellin transform approach to pricing barrier options under stochastic elasticity of variance
• New approach and analysis of the generalized constant elasticity of variance model

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