A multiscale correction to the Black-Scholes formula

DOI10.1002/ASMB.2006MaRDI QIDQ6571884zbMATH OpenFDO

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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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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