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...
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| 主要な著者: | , , |
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| フォーマット: | 論文 |
| 出版事項: |
Pushpa Publishing House
2020
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| 主題: | |
| オンライン･アクセス: | http://repo.uum.edu.my/27914/ http://doi.org/10.17654/AS062020203 |
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