Geometric fractional Brownian motion model for commodity market simulation
The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments...
Gorde:
| Egile Nagusiak: | , , |
|---|---|
| Formatua: | Artikulua |
| Hizkuntza: | English |
| Argitaratua: |
Elsevier
2021
|
| Sarrera elektronikoa: | http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf |
| Etiketak: |
Etiketa erantsi
Etiketarik gabe, Izan zaitez lehena erregistro honi etiketa jartzen!
|