LUCIANO, ELISA; SEMERARO, PATRIZIA - In: International Journal of Theoretical and Applied … 13 (2010) 03, pp. 415-440
Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch from calendar time to trade-related business time. Time-changed Brownian motions can be generated by infinitely divisible normal mixtures. The...