In a model of stock returns with geometric Brownian motion, where the volatility is assumed to be

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In a model of stock returns with geometric Brownian motion, where the volatility is assumed to be stochastic, what determines the type of skewness that emerges? What determines the kurtosis?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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In a model of stock returns with geometric Brownian motion, where the volatility is assumed to be

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Derivatives Principles And Practice

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