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Dynamic models of asset prices with long memory

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Please use this identifier to cite or link to this item:http://doi.org/10.14943/83672

Title: Dynamic models of asset prices with long memory
Authors: Anh, V. Browse this author
Inoue, A. Browse this author
Issue Date: May-2001
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 526
Start Page: 1
End Page: 21
Abstract: This paper introduces a class of AR( oo )-type models for mean-square continuous processes with stationary increments. The models allow for short- or long-memory dynamics in the processes. Their solutions are shown to have a semimartingale representation. The models are used to describe the dynamics of asset prices, which reduce to the traditional Black-ScholPB model as a special case. It is shown that there exists an equivalent martingale measure under which the behaviour of the discounted price process is equal to that in the Black-Scholes environment. As a result, the European option price is given by the Black-Scholes formula. The variance of the log price ratio is also obtained.
Type: bulletin (article)
URI: http://hdl.handle.net/2115/69276
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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