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...

书目详细资料
主要作者:	Al Haqyan, Mohammed Kamel Mohammed
格式:	Thesis
语言:	英语英语英语
出版:	2018
主题:	HG Finance QA Mathematics
在线阅读:	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

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