Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators
This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). An analysis of the Hurst values estimated using three different methods, namely, rescaled range analysis, aggravate variance, and residuals of regression. T...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | Article |
| 出版: |
Universiti Teknologi Malaysia
2023
|
| 标签: |
添加标签
没有标签, 成为第一个标记此记录!
|