2 papers
q-fin.MF2025
On Time-subordinated Brownian Motion Processes for Financial Markets
Rohan Shenoy, Peter Kempthorne
In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Varian…
q-fin.MF2025
The Variance-Gamma Process for Option Pricing
Rohan Shenoy, Peter Kempthorne
This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixt…