The skewed multifractal random walk with applications to option smiles
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Publication:4646792
DOI10.1088/1469-7688/2/4/306zbMath1405.91648arXivcond-mat/0204047OpenAlexW2570279256MaRDI QIDQ4646792
Benoît Pochart, Jean-Philippe Bouchaud
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0204047
Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20) Fractals (28A80)
Related Items (6)
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics ⋮ Properties of a simple bilinear stochastic model: Estimation and predictability ⋮ A non-Gaussian option pricing model with skew ⋮ Option pricing and hedging with minimum local expected shortfall ⋮ Intermittent random fields. I: Fields with symmetric increments ⋮ Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model
Uses Software
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