eKMAIR
Student-like models for risky asset and concept of fractal market
Login
English
українська
eKMAIR Home
→
003. Факультет інформатики
→
Кафедра математики
→
View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
Student-like models for risky asset and concept of fractal market
Shchestyuk, Nataliia
URI:
http://ekmair.ukma.edu.ua/handle/123456789/11579
Date:
2016
Abstract:
In this paper we present alternative to GBM that incorporates the Student-like distribution of the returns. This model gives asset prices as GBM but is driven by some nondecreasing stochastic "activity time" (or "fractal time") process.
Show full item record
Files in this item
Name:
Shchestyuk_Studen ...
Size:
25.12Kb
Format:
PDF
View/
Open
This item appears in the following Collection(s)
Кафедра математики
Search DSpace
Search DSpace
This Collection
Browse
All of DSpace
Communities & Collections
By Issue Date
Authors
Titles
Subjects
This Collection
By Issue Date
Authors
Titles
Subjects
My Account
Login
Register
Statistics
View Usage Statistics