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The Effect of the Hurst Parameter on Value at Risk Estimation in Fractional Geometric Brownian motion Price Simulation

International Journal of Research and Innovation in Social Science
This study assessed the impact of the Hurst parameter on the accuracy of Value at Risk (VaR) estimation using fractional Geometric Brownian motion (fGBM) for stock price simulation. The fGBM model, known for its ability to capture long-term memory in financial time series, was employed to simulate stock prices with varying Hurst parameters.
Tendayi Matina, Edmore Mangwende
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Pricing geometric Asian extremum options under mixed fractional Brownian motion with jumps

Japan Journal of Industrial and Applied Mathematics
Rong Wang, Guohe Deng
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Pricing geometric Asian rainbow options under the mixed fractional Brownian motion

Physica A: Statistical Mechanics and its Applications, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ahmadian D., Ballestra L. V.
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Information geometric characterization of the complexity of fractional Brownian motions

Journal of Mathematical Physics, 2012
The complexity of the fractional Brownian motions is investigated from the viewpoint of information geometry. By introducing a Riemannian metric on the space of their power spectral densities, the geometric structure is achieved. Based on the general construction, for an example, whose power spectral density is obtained by use of the normalized Mexican
Peng, Linyu, Sun, Huafei, Xu, Guoquan
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Pricing geometric Asian power options under mixed fractional Brownian motion environment

Physica A: Statistical Mechanics and its Applications, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with w sources of risk in fuzzy environment

Journal of Computational and Applied Mathematics
Abdulaziz Alsenafi, Fares Alazemi, Alireza Najafi   +2 more
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Pricing Geometric Asian Options under Mixed Fractional Brownian Motion Environment with Superimposed Jumps

Calcutta Statistical Association Bulletin, 2018
It has been observed that the stock price process can be modelled with driving force as a mixed fractional Brownian motion (mfBm) with Hurst index [Formula: see text] whenever long-range dependence is possibly present. We propose a geometric mfBm model for the stock price process with possible jumps superimposed by an independent Poisson process.
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Fractional Chern insulators in magic-angle twisted bilayer graphene

Nature, 2021
Yonglong Xie, Jeong Min Park, Daniel E Parker   +2 more
exaly  

Signatures of fractional quantum anomalous Hall states in twisted MoTe2

Nature, 2023
, Eric Anderson, Chong Wang
exaly  

Thermodynamic evidence of fractional Chern insulator in moiré MoTe2

Nature, 2023
, Patrick Knüppel, Kenji Watanabe
exaly