A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence

In the paper, using Lévy processes subordinated by ‘asymptotically self-similar activity time’ processes with long-range dependence, we set up new asset pricing models. Using the different construction for gamma (Γ) based ‘asymptotically self-similar activity time’ processes with long-range dependen...

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Bibliographic Details
Published in:Science China. Mathematics 2013-11, Vol.56 (11), p.2353-2366
Main Author: Wang, DingCheng
Format: Article
Language:English
Subjects:
Applications of Mathematics
Astronomy
Asymptotic properties
China
Construction
Mathematical models
Mathematics
Mathematics and Statistics
Pricing
Self-similarity
Series (mathematics)
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Summary:In the paper, using Lévy processes subordinated by ‘asymptotically self-similar activity time’ processes with long-range dependence, we set up new asset pricing models. Using the different construction for gamma (Γ) based ‘asymptotically self-similar activity time’ processes with long-range dependence from Finlay and Seneta (2006) we extend the constructions for inverse-gamma and gamma based ‘asymptotically selfsimilar activity time’ processes with integer-valued parameters and long-range dependence in Heyde and Leonenko (2005) and Finlay and Seneta (2006) to noninteger-valued parameters.
ISSN:1674-7283
1006-9283
1869-1862
DOI:10.1007/s11425-013-4626-9