Geometric fractional Brownian motion model for commodity market simulation
The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021
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| Online Access: | http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf |