Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model that obeys fractional Ornstein-Uhlenbeck process.The method of estimation for all parameters (α, β, m, μ, H1, and H2) in this model is derived.We calculate...
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| Format: | Article |
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2016
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