CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT (Q3503117): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q2219230 |
||
Property / author | |||
Property / author: Dmitrii M. Ostrovskii / rank | |||
Revision as of 13:57, 1 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT |
scientific article |
Statements
CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT (English)
0 references
20 May 2008
0 references
CEV
0 references
random time
0 references
asymptotics
0 references
implied volatility
0 references
limit lognormal time
0 references
multiscaling
0 references