SupOU-based and Related Fractal Activity Time Models for Risky Assets with Dependence

We propose several new models in ecophysics known as the Fractal Activity Time Geometric Brownian Motion (FATGBM) models with Student marginals. We summarize four models that construct stochastic processes of underlying prices with short-range and long-range dependencies. We derive solutions of opti...

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Bibliographic Details

Published in:	Methodology and computing in applied probability
Main Authors:	Leonenko, Nikolai N., Liu, Anqi, Shchestyuk, Nataliya
Format:	Journal Article
Language:	English
Published:	2023
Subjects:	Dependencestructure Fractal activity time Hedging Option pricing Student processes supOU processes
ISSN:	1573-7713, 1387-5841
Online Access:	Get full text
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