Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators
This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). An analysis of the Hurst values estimated using three different methods, namely, rescaled range analysis, aggravate variance, and residuals of regression. T...
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Universiti Teknologi Malaysia
2023
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