A risky asset model with strong dependence through fractal activity time (Q4954252)
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scientific article; zbMATH DE number 1449154
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|---|---|---|---|
| default for all languages | No label defined |
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| English | A risky asset model with strong dependence through fractal activity time |
scientific article; zbMATH DE number 1449154 |
Statements
A risky asset model with strong dependence through fractal activity time (English)
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1999
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Black-Scholes model
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heavy tails
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long-range dependence
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self-similarity
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0.9114075899124146
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0.8837264776229858
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0.8598001599311829
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0.8397086262702942
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0.8346338272094727
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