Coupled continuous-time random walk approach to the Rachev–Rüschendorf model for financial data
Year of publication: |
2009
|
---|---|
Authors: | Jurlewicz, Agnieszka ; Wyłomańska, Agnieszka ; Żebrowski, Piotr |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 4, p. 407-418
|
Publisher: |
Elsevier |
Subject: | Continuous-time random walk | Log-returns of financial instruments | Black–Scholes formula | Cox–Ross–Rubinstein model | Randomization | Alternative model |
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