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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | en |
| Published: |
Elsevier
2021
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf http://psasir.upm.edu.my/id/eprint/97441/ https://www.sciencedirect.com/science/article/pii/S111001682030541X |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|