A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence (Q2441148): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:11, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence |
scientific article |
Statements
A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence (English)
0 references
21 March 2014
0 references
activity time
0 references
asset pricing model
0 references
asymptotical self-similarities
0 references
gamma process
0 references
inverse-gamma process
0 references
Lévy process
0 references
long-range dependence
0 references
subordinator
0 references
