Coupled continuous-time random walk approach to the Rachev-Rüschendorf model for financial data

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 4, 2009, Pages 407-418

  Jurlewicz, Agnieszka ^a   Wyłomańska, Agnieszka ^a   Zebrowski, Piotr ^b  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

^b UNIVERSITY OF WROC AW   (Poland)

Author keywords

Alternative model; Black Scholes formula; Continuous time random walk; Cox Ross Rubinstein model; Log returns of financial instruments; Randomization

Indexed keywords

COSTS; ECONOMICS; FINANCIAL MARKETS; RANDOM PROCESSES; STATISTICAL PHYSICS;

ANOMALOUS DIFFUSION; ASSET PRICING MODEL; BLACK-SCHOLES FORMULA; COARSE-GRAINING METHOD; CONTINUOUS TIME RANDOM WALKS; COUPLED CONTINUOUS-TIME RANDOM WALK; LIMITING DISTRIBUTIONS; RANDOMIZATION;

CONTINUOUS TIME SYSTEMS;

EID: 57349138205     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.10.041     Document Type: Article

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