ASSET MODEL INVESTED BY SHORT-SAMPLING INTERVALS

  • Kelley, Joe (Department of Mathematics Humboldt State University) ;
  • Oh, Jae-Pill (Division of Mathematics and Statistics Kangweon National University)
  • Published : 2005.06.25

Abstract

We analyze some real data and, from the background of analysis of data, we define a multi-dimensional jump-type asset model which is derived from short-sampling asset prices. We study some basic properties of this asset model.