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

• 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
• Institution: Universiti Utara Malaysia

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...