A risky asset model with strong dependence through fractal activity time

Journal of Applied Probability

Volumn 36, Issue 4, 1999, Pages 1234-1239

  Heyde, C C ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Black Scholes model; Fractal activity time; Heavy tails; Long range dependence; Risky asset model; Self similarity

Indexed keywords

EID: 0033233850     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200018003     Document Type: Article

References (23)

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