A multiscale correction to the Black-Scholes formula

Social Sciences

• Volatility 100%
• Correction 40%
• Prices 30%
• Pricing 20%
• Diffusion 10%
• Calibration 10%
• Geometry 10%
• Instability 10%
• Analysis 10%
• Time 10%
• Markets 10%

Mathematics

• Underlying Asset 20%
• Asset Price 20%
• Implied Volatility 20%
• Asymptotics 10%
• Diffusion 10%
• Geometry 10%
• Option Price 10%
• Black-Scholes Model 10%
• Uhlenbeck 10%
• Fast Time Scale 10%
• Direction 10%

Economics, Econometrics and Finance

• Rights 30%
• Hedging 10%
• Diffusion 10%
• Option Trading 10%
• Black-Scholes Model 10%
• Options 10%
• Market 10%