A multiscale correction to the Black–Scholes formula

Publisher: John Wiley & Sons Inc

E-ISSN: 1526-4025|30|6|753-765

ISSN: 1524-1904

Source: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Vol.30, Iss.6, 2014-11, pp. : 753-765

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Abstract