Student-like models for risky asset with dependence. Issue 3 (4th May 2017)

• Record Type: Journal Article
• Authors: Castelli, F.; Leonenko, N. N.; Shchestyuk, N.
• Is Part Of: Stochastic analysis and applications. Volume 35:Issue 3(2017)
• Page Start: 452
• Page End: 464
• Publication Date: 2017-05-04
• Subjects: Risky asset model -- Student distribution -- geometric Brownian motion -- fractal activity time -- reciprocal gamma diffusion -- option pricing formula; 60H10 -- 60J25 -- 60F05 -- 60G10; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2016.1266945
• Languages: English
• ISSNs: 0736-2994

Abstract

ABSTRACT: We present a new construction of the Student and Student-like fractal activity time model for risky asset. The construction uses the diffusion processes and their superpositions and allows for specified exact Student or Student-like marginal distributions of the returns and for flexible and tractable dependence structure. The fractal activity time is asymptotically self-similar, which is a desired feature seen in practice.