Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model
This article is aimed at to derive geometric fractional Brownian motion where its volatility follow long memory stochastic volatility model, in particular the fractional Ornstein-Uhlenbech process. The innovation algorithm is utilized to simplify such derivation. A simple case of is calculated to i...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Pushpa Publishing House
2015
|
| Subjects: |
| _version_ | 1825804582708576256 |
|---|---|
| author | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_facet | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_sort | Alhagyan, Mohammed |
| collection | UUM |
| description | This article is aimed at to derive geometric fractional Brownian motion where its volatility follow long memory stochastic volatility model, in particular the fractional Ornstein-Uhlenbech process. The innovation algorithm is utilized to simplify such derivation. A simple case of is calculated to illustrate the calculation to accompany this derivation. |
| first_indexed | 2024-07-04T06:17:54Z |
| format | Article |
| id | uum-21561 |
| institution | Universiti Utara Malaysia |
| last_indexed | 2024-07-04T06:17:54Z |
| publishDate | 2015 |
| publisher | Pushpa Publishing House |
| record_format | eprints |
| spelling | uum-215612017-04-13T07:15:18Z https://repo.uum.edu.my/id/eprint/21561/ Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model Alhagyan, Mohammed Misiran, Masnita Omar, Zurni QA Mathematics This article is aimed at to derive geometric fractional Brownian motion where its volatility follow long memory stochastic volatility model, in particular the fractional Ornstein-Uhlenbech process. The innovation algorithm is utilized to simplify such derivation. A simple case of is calculated to illustrate the calculation to accompany this derivation. Pushpa Publishing House 2015 Article PeerReviewed Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2015) Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model. Far East Journal of Mathematical Sciences (FJMS), 99 (2). pp. 221-235. ISSN 0972-0871 http://doi.org/10.17654/MS099020221 doi:10.17654/MS099020221 doi:10.17654/MS099020221 |
| spellingShingle | QA Mathematics Alhagyan, Mohammed Misiran, Masnita Omar, Zurni Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
| title | Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
| title_full | Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
| title_fullStr | Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
| title_full_unstemmed | Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
| title_short | Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
| title_sort | estimation of geometric fractional brownian motion perturbed by stochastic volatility model |
| topic | QA Mathematics |
| work_keys_str_mv | AT alhagyanmohammed estimationofgeometricfractionalbrownianmotionperturbedbystochasticvolatilitymodel AT misiranmasnita estimationofgeometricfractionalbrownianmotionperturbedbystochasticvolatilitymodel AT omarzurni estimationofgeometricfractionalbrownianmotionperturbedbystochasticvolatilitymodel |