The skewed multifractal random walk with applications to option smiles

Authors: Beno icirc

t Pochart ^a; Jean-Philippe Bouchaud ^b^c

Affiliations:	^a Centre de Mathmatiques Appliques, 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

Published in: journal

Quantitative Finance, Volume 2, Issue 4 August 2002 , pages 303 - 314

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: PDF (English)

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