Joint densities for a sequential pair of returns with weak autocorrelation and strong correlation in squared returns are formulated. The marginal return densities are either variance gamma or bilateral gamma. Two dimensional matching of empirical characteristic functions to its theoretical...

Time changes of Brownian motion impose restrictive jump structures in the motion of asset prices. Quadratic variations also depart from time changes. Joint Laplace Fourier transforms for quadratic variation and the stock are developed. They are used to study the multiple of the cap strike over...