کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977477 | 933190 | 2009 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Coupled continuous-time random walk approach to the Rachev–Rüschendorf model for financial data
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we expand the Rachev–Rüschendorf asset-pricing model introducing a coupled continuous-time-random-walk-(CTRW)-like form of the random number of price changes. Such a form results from the concept of the random clustering procedure (that resembles the coarse-graining methods of statistical physics) and, on the other hand, indicates applicability of the CTRW idea, widely used in physics to model anomalous diffusion, for describing financial markets. In the framework of the proposed model we derive the limiting distributions of log-returns and the corresponding pricing formulas for European call option. In order to illustrate the obtained theoretical results we present their fitting with several sets of financial data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 4, 15 February 2009, Pages 407–418
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 4, 15 February 2009, Pages 407–418
نویسندگان
Agnieszka Jurlewicz, Agnieszka Wyłomańska, Piotr Żebrowski,