The skewed multifractal random walk with applications to option smiles
Authors:
Beno
t Pochart a;
Jean-Philippe Bouchaud bc
t Pochart a;
Jean-Philippe Bouchaud bc
| Affiliations: | a Centre de Math matiques Appliqu es, Ecole Polytechnique, Palaiseau, Cedex, France |
b Service de Physique de l'Etat Condens , Centre d' tudes de Saclay, Orme des Merisiers, Gif-sur-Yvette, Cedex, France |
|
| c Science and Finance, Capital Fund Management, Levallois, Cedex, France |
DOI:
10.1088/1469-7688/2/4/306
Publication Frequency:
8 issues per year
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(English)
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matiques Appliqu