Leonenko, Nikolai N. ![]() |
Official URL: http://dx.doi.org/10.1080/07362994.2012.668443
Abstract
Risky asset models with the dependence through fractal activity time are described. The construction of the fractal activity time is implemented via superpositions of Ornstein-Uhlenbeck type processes driven by Lévy noise. The model features both tractable dependence structure and desired marginal distributions of the returns from the generalized hyperbolic class: the Variance Gamma and normal inverse Gaussian. These distributions provide good fit to real financial data. Pricing formulae for the proposed models are derived.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Uncontrolled Keywords: | Fractal activity time, Geometric Brownian motion, Lévy noise, Normal inverse Gaussian distribution, Ornstein-Uhlenbeck type processes, Self-similarity, Variance Gamma distribution |
Publisher: | Taylor and Francis |
ISSN: | 0736-2994 |
Last Modified: | 20 Oct 2022 08:46 |
URI: | https://orca.cardiff.ac.uk/id/eprint/29553 |
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