BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE

DOI10.1142/S0219024907004421zbMath1198.91194MaRDI QIDQ3502982

Dmitrii M. Ostrovskii

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

multiscaling; implied volatility; random time; average price; limit lognormal time; Path dependence

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT

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