A multiscale correction to the Black-Scholes formula
Author:
Affiliation:
1. Department of Mathematics; Yonsei University; Seoul Korea
2. School of Mathematics and Statistics; University of Wollongong; Wollongong NSW Australia
3. Samsung Securities; Seoul Korea
Funder
National Research Foundation of Korea
Publisher
Wiley
Subject
Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.2006/fullpdf
Reference35 articles.
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3. Cox J Notes on option pricing I: constant elasticity of variance diffusions. Working paper 1975
4. The valuation of options for alternative stochastic processes;Cox;Journal of Financial Economics,1976
5. Pricing lookback and barrier options under the CEV process;Boyle;Journal of Financial and Quantitative Analysis,1999
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