Fernández-Pascual, R.; Ruiz-Medina, M.; Angulo, J. - In: Computational Statistics 18 (2003) 3, pp. 401-415
We consider a fractional-order differential equation involving fractal activity time to represent the stochastic behaviour of a log-price process of an underlying asset. The log-price process is defined in terms of fractional integration of the fractional derivative of Brownian motion on fractal...