Scaling and multiscaling in financial series: a simple model

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails...

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Hauptverfasser:	Andreoli, Alessandro, Caravenna, Francesco, Pra, Paolo Dai, Posta, Gustavo
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Quantitative Finance - Statistical Finance
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