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 longmemory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments t...
| Main Authors: | , , |
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| Format: | Article |
| Sprog: | English |
| Udgivet: |
Faculty of Engineering, Alexandria University
2021
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| Online adgang: | https://repo.uum.edu.my/id/eprint/30893/1/1-s2.0-S111001682030541X-main.pdf https://doi.org/10.1016/j.aej.2020.10.023 |