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Fractal activity time models for risky asset with dependence and generalized hyperbolic distributions

Leonenko, Nikolai N., Petherick, Stuart Gary and Sikorskii, A. 2012. Fractal activity time models for risky asset with dependence and generalized hyperbolic distributions. Stochastic Analysis and Applications 30 (3) , pp. 476-492. 10.1080/07362994.2012.668443

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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
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: 23 Oct 2017 11:20
URI: http://orca.cf.ac.uk/id/eprint/29553

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