BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE (Q3502982): Difference between revisions

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-Dmitrii M. Ostrovskii
@@ Property / author: Dmitrii M. Ostrovskii / rank @@
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+Dmitrii M. Ostrovskii
@@ Property / author: Dmitrii M. Ostrovskii / rank @@
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+MaRDI publication profile
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@@ Property / cites work @@
+Modelling financial time series using multifractal random walks
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+Log-infinitely divisible multifractal processes
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+Multifractal products of cylindrical pulses
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+The Pricing of Options and Corporate Liabilities
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+Q3229718
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+Forecasting multifractal volatility
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+Stochastic Volatility for Lévy Processes
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+On Non-Scale-Invariant Infinitely Divisible Cascades
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+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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+A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
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+Trading volume in models of financial derivatives
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+Limit lognormal multifractal as an exponential functional
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+Multiscale behaviour of volatility autocorrelations in a financial market
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+Heterogeneous volatility cascade in financial markets
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