A risky asset model based on Lvy processes and asymptotically self-similar activity time processes with long-range dependence  

作　　者：WANG DingCheng 

机构地区：[1]Center of Financial Engineering, Nanjing Audit University [2]School of Mathematical Science, University of Electronic Science and Technology of China

出　　处：《Science China Mathematics》2013年第11期2353-2366,共14页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China(Grant No.71271042);the Plan of Jiangsu Specially-Appointed Professors,the Jiangsu Hi-Level Innovative and Entrepreneurship Talent Introduction Plan and Major Program of Key Research Center in Financial Risk Management of Jiangsu Universities Philosophy Social Sciences(Grant No.2012JDXM009)

摘　　要：In the paper, using Levy processes subordinated by ＇asymptotically self-similar activity time＇ pro- cesses with long-range dependence, we set up new asset pricing models. Using the different construction for gamma （F） based ＇asymptotically self-similar activity time＇ processes with long-range dependence from Fin- lay and Seneta （2006） we extend the constructions for inverse-gamma and gamma based ＇asymptotically self- similar activity time＇ processes with integer-vMued parameters and long-range dependence in Heyde and Leo- nenko （2005） and Finlay and Seneta （2006） to noninteger-valued parameters.In the paper,using Lvy processes subordinated by‘asymptotically self-similar activity time’processes with long-range dependence,we set up new asset pricing models.Using the diferent construction for gamma(Γ)based‘asymptotically self-similar activity time’processes with long-range dependence from Finlay and Seneta(2006)we extend the constructions for inverse-gamma and gamma based‘asymptotically selfsimilar activity time’processes with integer-valued parameters and long-range dependence in Heyde and Leonenko(2005)and Finlay and Seneta(2006)to noninteger-valued parameters.

关 键 词：activity time asset pricing model asymptotical self-similarities gamma process inverse-gammaprocess L4vy process long-range dependence SUBORDINATOR 

分 类 号：O211.6[理学—概率论与数理统计]