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

multiscalingimplied volatilityrandom timeaverage pricelimit lognormal timePath dependence

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

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

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