BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE (Q3502982): Difference between revisions
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Revision as of 13:57, 1 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE |
scientific article |
Statements
BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE (English)
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20 May 2008
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Path dependence
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random time
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average price
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implied volatility
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limit lognormal time
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multiscaling
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