Work

Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility

Year: 2017

Type: erratum

Source: SIAM Journal on Financial Mathematics

DOI: 10.1137/15m1036749

Authors: Josselin Garnier, Knut Sølna

Institutions: Laboratoire de Probabilités et Modèles Aléatoires, Laboratoire Jacques-Louis Lions, Université Paris Diderot, University of California, Irvine

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1818596086

Cites: 36

Cited by: 46

Related to: 10