Dynamic models of asset prices with long memory

Anh, V.; Inoue, A.

Hokkaido University Preprint Series in Mathematics, 2001, 526, 1-21

Permalink : https://doi.org/10.14943/83672

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DOI	https://doi.org/10.14943/83672
URI	https://hdl.handle.net/2115/69276
タイトル	Dynamic models of asset prices with long memory
著者	著者名 Anh, V.
著者	著者名 Inoue, A.
言語	英語
発行日	2001-05
出版者	Department of Mathematics, Hokkaido University
収録物名	Hokkaido University Preprint Series in Mathematics
巻(号)	526
ページ	1-21
抄録	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.
資源タイプ	紀要論文
出版タイプ	Version of Record