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
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q5558293 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling financial time series using multifractal random walks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Log-infinitely divisible multifractal processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing and Hedging Path-Dependent Options Under the CEV Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4839745 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inequalities for Modified Bessel Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit lognormal multifractal as an exponential functional / rank
 
Normal rank
Property / cites work
 
Property / cites work: BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic and numerical aspects of the noncentral chi-square distribution / rank
 
Normal rank

Latest revision as of 09:25, 28 June 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

    Identifiers