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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...

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Bibliografiske detaljer
Main Authors:	Ibrahim, Siti Nur Iqmal, Misiran, Masnita, Laham, Mohamed Faris
Format:	Article
Sprog:	English
Udgivet:	Elsevier 2021
Online adgang:	http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf
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