Student-like models for risky asset with dependence

DOI10.1080/07362994.2016.1266945zbMath1364.60072OpenAlexW2570388062MaRDI QIDQ2986696

Nataliya Yu. Shchestyuk, Fabrizio Castelli, Nikolai N. Leonenko

Publication date: 16 May 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://orca.cf.ac.uk/96940/1/St_like_models.pdf

zbMATH Keywords

stochastic differential equationgeometric Brownian motionoption pricing formulareciprocal gamma diffusionstudent distributionfractal activity timerisky asset model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (1)

Option pricing and stochastic optimization

Cites Work

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