A risky asset model based on L,vy processes and asymptotically self-similar activity time processes with long-range dependence

作者：Wang DingCheng^*

来源：Science China Mathematics, 2013, 56(11): 2353-2366.

DOI：10.1007/s11425-013-4626-9

• activity time
• asset pricing model
• asymptotical self-similarities
• gamma process
• inverse-gamma process
• Levy process
• long-range dependence
• subordinator

In the paper, using L,vy processes subordinated by 'asymptotically self-similar activity time' processes with long-range dependence, we set up new asset pricing models. Using the different construction for gamma (I") based 'asymptotically self-similar activity time' processes with long-range dependence from Finlay and Seneta (2006) we extend the constructions for inverse-gamma and gamma based 'asymptotically selfsimilar activity time' processes with integer-valued parameters and long-range dependence in Heyde and Leonenko (2005) and Finlay and Seneta (2006) to noninteger-valued parameters.

• 出版日期2013-11
• 单位南京审计大学; 电子科技大学