Results 11 to 20 of about 11,121 (220)
OALib, 2016 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.
Mohammed Alhagyan +2 more
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Evaluation of Geometric Asian Power Options under Fractional Brownian Motion
Journal of Mathematical Finance, 2013 Modern option pricing techniques are often considered among the most mathematical complex of all applied areas of financial mathematics. In particular, the fractional Brownian motion is proper to model the stock dynamics for its long-range dependence.
Zhijuan Mao, Liang Zhian
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On the Approximation of Geometric Fractional Brownian Motion [PDF]
, 2009 We give an approximation to geometric fractional Brownian motion. The approximation is a simple corollary to a ‘teletraffic’ functional central limit theorem by Gaigalas and Kaj in (Bernoulli 9:671–703, 2003). We analyze the central limit theorem of Gaigalas and Kaj from the point of view of semimartingale limit theorems to have a better understanding ...
Esko Valkeila
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Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach
, 2017 The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^4$ geometric fractional Brownian motion realisations is performed as extensions of historical data. The accuracy of statistical inferences is 10\%.
Mariusz Tarnopolski
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Deposit Insurance Pricing of Excess Reinsurance Based on Geometric Fractional Brownian Motion
Advances in Applied Mathematics, 2015 在假定银行资产服从几何分数布朗运动的前提下，建立了溢额再保险存款保险定价模型，并利用保险精算方法推导出存款保险定价公式。最后选取了我国四大国有银行进行了实证分析，结果表明存款保险费率与银行资产波动率呈现一定的正相关性，且再保险费率均低于原保险费率。因此，所建立的基于几何分数布朗运动的溢额再保险的存款保险定价模型更能反映实际。 Under the assumption of bank assets subject to geometric fractional Brownian motion, the deposit insurance pricing model of excess reinsurance is established.
海梅 刘
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Time-fractional geometric Brownian motion from continuous time random walks
Physica A: Statistical Mechanics and its Applications, 2019 Abstract We construct a time-fractional geometric Fokker–Planck equation from the diffusion limit of a continuous time random walk with a power law waiting time density, and a biased multiplicative jump length density dependent on the particles’ current position.
Christopher N. Angstmann +2 more
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FilomatIn this paper, the price process for underlying assets is modeled as a mixed fractional Brownian motion (MFBM) to account for the long memory in financial markets and remove arbitrage opportunities. Furthermore, the issue of the behaviors of price options with known discrete cash dividends on the under-lying asset is taken into account.
Wenjie Liang +4 more
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Fractal and Fractional, 2022 As one of the main areas of value investing, the stock market attracts the attention of many investors. Among investors, market index movements are a focus of attention.
Hongwen Hu +3 more
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Alexandria Engineering Journal, 2022 The performance of financial trading in any country depends significantly on the role of exchange rate, specifically the activity of international trading.
Mohammed Alhagyan
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AIMS Mathematics, 2023 It is known in the financial world that the index price reveals the performance of economic progress and financial stability. Therefore, the future direction of index prices is a priority of investors.
Mohammed Alhagyan, Mansour F. Yassen
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