A risky asset model with strong dependence through fractal activity time

DOI10.1239/jap/1032374769zbMath1102.62345OpenAlexW2039860114MaRDI QIDQ4954252

Christopher C. Heyde

Publication date: 1999

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032374769

zbMATH Keywords

self-similarityheavy tailsBlack-Scholes modellong-range dependence

Mathematics Subject Classification ID

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