A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
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Publication:2441148
DOI10.1007/s11425-013-4626-9zbMath1295.91050OpenAlexW2264742085MaRDI QIDQ2441148
Publication date: 21 March 2014
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-013-4626-9
subordinatorlong-range dependenceLévy processgamma processasset pricing modelactivity timeasymptotical self-similaritiesinverse-gamma process
Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18)
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