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The skewed multifractal random walk with applications to option smiles 

Authors: Benoicirct Pochart a; Jean-Philippe Bouchaud bc
Affiliations:   a Centre de Matheacutematiques Appliqueacutees, Ecole Polytechnique, Palaiseau, Cedex, France
b Service de Physique de l'Etat Condenseacute, Centre d'eacutetudes 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
Published in: journal Quantitative Finance, Volume 2, Issue 4 August 2002 , pages 303 - 314
Formats available: PDF (English)
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