Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions

摘要

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.View full textDownload full textKeywordsFractal activity time, Geometric Brownian motion, Lévy noise, Normal inverse Gaussian distribution, Ornstein-Uhlenbeck type processes, Self-similarity, Variance Gamma distributionMathematics Subject ClassificationPrimary 60G18, Secondary 60G10, 62M10Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/07362994.2012.668443