Student-like models for risky asset with dependence |
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| Authors: | F Castelli N Shchestyuk |
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| Institution: | 1. Department of Mathematics, University of Padua, Padua, Italy;2. Department of Mathematics, Kyiv-Mohila University, Kyiv, Ukraine |
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| Abstract: | We present a new construction of the Student and Student-like fractal activity time model for risky asset. The construction uses the diffusion processes and their superpositions and allows for specified exact Student or Student-like marginal distributions of the returns and for flexible and tractable dependence structure. The fractal activity time is asymptotically self-similar, which is a desired feature seen in practice. |
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| Keywords: | Risky asset model Student distribution geometric Brownian motion fractal activity time reciprocal gamma diffusion option pricing formula |
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