Journal of the Korean Society for Industrial and Applied Mathematics
- Volume 9 Issue 1
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- Pages.31-53
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- 2005
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- 1226-9433(pISSN)
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- 1229-0645(eISSN)
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.