In this study, we investigate two multivariate time-changed Brownian motion option pricing models in which the connection between the historical measure P and the risk-neutral measure Q is given by the Esscher transform. The models incorporate skewness, kurtosis and more complex dependence...

This paper proposes a new minimum distance methodology for the estimation of ARFIMA processes with Gaussian and non-Gaussian errors. The main advantage of this method is that it allows for a computationally efficient estimation when the long-memory parameter is in the interval d∈(−12,12)....

We have analyzed diffusion in a double well potential driven by a colored non-Gaussian noise. Using a path-integral approach we have obtained a consistent Markovian approximation to the initially non-Markovian problem. Such an approximation allows us to get analytical expressions for the...