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most citedA Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model

2 citations · 2 across the 3 of their papers we have counts for

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cond-mat2002

The skewed multifractal random walk with applications to option smiles

B. Pochart, J. -P. Bouchaud

We generalize the construction of the multifractal random walk (MRW) due to Bacry, Delour and Muzy to take into account the asymmetric character of the financial returns. We show h…