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...
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Articolo |
| Lingua: | English |
| Pubblicazione: |
Elsevier
2021
|
| Accesso online: | http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne! !
|