Estimating Dynamic Geometric Fractional Brownian Motion and Its Application to Long-Memory Option Pricing

Estimating Dynamic Geometric Fractional Brownian Motion and Its Application to Long-Memory Option Pricing

Geometric fractional Brownianmotion (GFBM) is an extended dynamic model of the traditional geometric Brownian motion, and has been used in characterizing the long term memory dynamic behavior of financial time series and in pricing long-memory options. A crucial problem in its applications is how th...

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Bibliographic Details
Main Authors: Misiran, Masnita, Lu, Zudi, Kok Lay, Teo, Aw, Grace
Format: Article
Language:English
Published: Dynamic Publishers, Inc. 2012
Subjects:
QA Mathematics
Online Access:https://repo.uum.edu.my/id/eprint/30833/1/DSA%2021%202012%2049-66.pdf
https://repo.uum.edu.my/id/eprint/30833/
https://espace.curtin.edu.au/handle/20.500.11937/11322
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Institution: Universiti Utara Malaysia
Language: English

Internet

https://repo.uum.edu.my/id/eprint/30833/1/DSA%2021%202012%2049-66.pdf
https://repo.uum.edu.my/id/eprint/30833/
https://espace.curtin.edu.au/handle/20.500.11937/11322

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