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

DOI10.1142/S0219024907004494zbMath1139.91328MaRDI QIDQ3503117

Dmitrii M. Ostrovskii

Publication date: 20 May 2008

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

zbMATH Keywords

asymptoticsmultiscalingimplied volatilityrandom timeCEVlimit lognormal time

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

CEV model equipped with the long-memory

Cites Work

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• Inequalities for Modified Bessel Functions
• Modelling financial time series using multifractal random walks

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