To capture the subdiffusive characteristics of financial markets,the subordinated process,directed by the inverse Q-stale subordinator S_α(t) for 0 <α< 1,has been employed as the model of asset prices.In this article,we introduce a multidimensional subdiffusion model that has a bond and K correlated stocks.The stock price process is a multidimensional subdiffusion process directed by the inverse Q-stable subordinator.This model describes the period of stagnation for each stock and the behavior of the dependency between multiple stocks.Moreover,we derive the multidimensional fractional backward Kolmogorov equation for the subordinated process using the Laplace transform technique.Finally, using a martingale approach,we prove that the multidimensional subdiffusion model is arbitrage-free,and also gives an arbitrage-free pricing rule for contingent claims associated with the martingale measure.
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机译:The Impacts of Margin Trading on Rate of Return and Volatility in the Stock Market: A Study Using the SVAR Model and Panel Regressions =融资对股价收益与波动的影响特征研究——基于SVAR模型与面板模型的实证分析
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