Modeling financial environments using geometric fractional Brownian motion model with long memory stochastic volatility
Geometric Fractional Brownian Motion (GFBM) model is widely used in financial environments. This model consists of important parameters i.e. mean, volatility, and Hurst index, which are significant to many problems in finance particularly option pricing, value at risk, exchange rate, and mortgage in...
| 第一著者: | |
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| フォーマット: | 学位論文 |
| 言語: | 英語 英語 英語 |
| 出版事項: |
2018
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| オンライン･アクセス: | https://etd.uum.edu.my/6895/1/DepositPermission_s93750.pdf https://etd.uum.edu.my/6895/2/s93750_01.pdf https://etd.uum.edu.my/6895/3/s93750_02.pdf |