ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME

By Helyette Geman, Dilip B Madan 5, Marc Yor. 2001

86 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/be60d5a1219a22096e09ee8ca10950763915fda0

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Citations in the corpus

Russian and American put options under exponential phase-type Lévy models (2004, methodology): “This development is motivated by superior fits to the data and hence improved pricing formulas and hedging strategies, as well as by theoretical considerations outlined in [27].”
A minimal financial market model (2001, background): “A well studied group of asset price models covers the subordinated models, see, for instance, [2], [16], [10] and [14] to mention just a few.”
On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006, background): “Madan & Seneta (1990) and Geman, Madan & Yor (2001) proposed log-returns to be distributed with a normal-variance gamma mixture distribution.”
Fluctuations of Lévy Processes with Applications (2014, background): “Geman et al. (2001) argue however the case for modelling the value of risky assets with Lévy processes which have paths of bounded variation which are not compound Poisson processes.”
Jump-diffusion Models: a Practitioner's Guide (2009, methodology): “Using Yt to model the logarithm of stock prices can be justified by saying that the price is a geometric Brownian motion if viewed on a stochastic time scale given by the gamma process [16].”
A Gaussian approach for continuous time models of the short-term interest rate (2001, methodology): “Clark (1973) suggests using a Brownian motion as a subordinator while others use more complicated processes or exogenous variables as subordinators (see, for example, An ´ e and Geman (2000), Barndorff-Nielsen and Shephard (2001), Conley et al. (1997), Geman et al. (1998) , Madan and Senata (1990))”