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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Vydáno v:	Methodology and computing in applied probability
Hlavní autoři:	Leonenko, Nikolai N., Liu, Anqi, Shchestyuk, Nataliya
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	2023
Témata:	Dependencestructure Fractal activity time Hedging Option pricing Student processes supOU processes
ISSN:	1573-7713, 1387-5841
On-line přístup:	Získat plný text
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