Modeling financial environments using geometric fractional Brownian motion model with long memory stochastic volatility
Geometric Fractional Brownian Motion (GFBM) model is widely used in financial environments. This model consists of important parameters i.e. mean, volatility, and Hurst index, which are significant to many problems in finance particularly option pricing, value at risk, exchange rate, and mortgage in...
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| Format: | Thesis |
| Language: | English English English |
| Published: |
2018
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| Online Access: | https://etd.uum.edu.my/6895/1/DepositPermission_s93750.pdf https://etd.uum.edu.my/6895/2/s93750_01.pdf https://etd.uum.edu.my/6895/3/s93750_02.pdf https://etd.uum.edu.my/6895/ |
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