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
@@ Property / author: Dmitrii M. Ostrovskii / rank @@
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+Q5558293
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+Modelling financial time series using multifractal random walks
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+Log-infinitely divisible multifractal processes
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+Pricing and Hedging Path-Dependent Options Under the CEV Process
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+A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
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+Q4839745
@@ Property / cites work: Q4839745 / rank @@
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+Inequalities for Modified Bessel Functions
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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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@@ Property / cites work @@
+Asymptotic and numerical aspects of the noncentral chi-square distribution
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+Publication:3503117