From the implied volatility skew to a robust correction to Black-Scholes American option prices
Jean-Pierre Fouque; George Papanicolaou; K. Ronnie Sircar
| Year of publication: |
2001
|
|---|---|
| Authors: | Fouque, Jean-Pierre ; Papanicolaou, George ; Sircar, Kaushik Ronnie |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 4.2001, 4, p. 651-675
|
| Subject: | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Volatilität | Volatility | Theorie | Theory | Mean Reversion | Mean reversion |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: International journal of theoretical and applied finance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001600370