Student Models for a Risky Asset with Dependence: Option Pricing and Greeks
We propose several new models in finance known as the Fractal Activity Time Geometric Brownian Motion (FATGBM) models with Student marginals. We summarize four models that construct stochastic processes of underlying prices with short-range and long-range dependencies. We derive solutions of option...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2025-01-01
|
| Series: | Austrian Journal of Statistics |
| Online Access: | https://www.ajs.or.at/index.php/ajs/article/view/1952 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|