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A multiscale correction to the Black-Scholes formula - MaRDI portal

A multiscale correction to the Black-Scholes formula

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Publication:6571884

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DOI10.1002/asmb.2006MaRDI QIDQ6571884

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

Publication date: 12 July 2024

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

zbMATH Keywords

asymptotics multiscale implied volatility Black-Scholes formula stochastic elasticity of variance

Mathematics Subject Classification ID

Statistics (62-XX)

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