Erratum for ‘Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility’

Abstract

ABSTRACT The purpose of this Erratum is to remedy a minor mistake in Theorems 5.4 and Corollary 5.3 in the article ‘Closed-form approximations for option pricing under stochastic volatility’ [K. Das and N. Langrené, Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility, Stochastics 94(5) (2022), pp. 745–788]. The mistake arose due to neglecting the stochastic nature of the functions M α ( T , K ) and M ( T , K ) in Proposition 5.1 and Corollary 5.2 respectively in Das and Langrené [Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility, Stochastics 94(5) (2022), pp. 745–788]. Therefore, expectation must taken on these terms when bounding the error. We state the corrected versions of these results here with proofs.