CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT (Q3503117): Difference between revisions

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+Dmitrii M. Ostrovskii
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+Q5558293
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+Modelling financial time series using multifractal random walks
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+Limit lognormal multifractal as an exponential functional
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+BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE
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+Asymptotic and numerical aspects of the noncentral chi-square distribution
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