Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived. After, simulation experiments are condu...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Pushpa Publishing House
2020
|
| Subjects: | |
| Online Access: | http://repo.uum.edu.my/27914/ http://doi.org/10.17654/AS062020203 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|