CONTINUOUS TIME PROCESSES IN TIMES OF CRISIS: THE CASE OF GBM AND CEV MODELS
This research aims at studying continuous time models within different stock market environments. We assume that the modeling of continuous time processes may be altered whether an equity market is experiencing a crisis or a pre-crisis period. As a benchmark index, the S&P500 has been chosen for this study and the sampling periods in question include the Black Monday of 1987, the Dot-Com of 20