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 ...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.展开更多
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)
文摘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.
