Results 11 to 20 of about 11,331 (217)

Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus [PDF]

Bernoulli, 2010
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It sense, including a geometric fractional Brownian motion. To this end, we apply a Donsker-type approximation of the fractional Brownian motion by disturbed binary random walks due to ...
Bender, Christian, Parczewski, Peter
openaire   +6 more sources

The fractional Brownian motion property of the turbulent refractive within Geometric Optics [PDF]

, 2003
28 pages, no ...
Darı́o G. Pérez
  +5 more sources

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
openaire   +2 more sources

A Geometric Drift Inequality for a Reflected Fractional Brownian Motion Process on the Positive Orthant [PDF]

Journal of Applied Probability, 2011
We study a d-dimensional reflected fractional Brownian motion (RFBM) process on the positive orthant S = ℝ+d, with drift r0 ∈ ℝd and Hurst parameter H ∈ (½, 1). Under a natural stability condition on the drift vector r0 and reflection directions, we establish a geometric drift towards a compact set for the 1-skeleton chain Ž̆ of the RFBM process Z ...
Chihoon Lee
openaire   +4 more sources

Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing

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.
Alhagyan, Mohammed, Misiran, Masnita, Omar, Zurni   +2 more
openaire   +3 more sources

Time-fractional geometric Brownian motion from continuous time random walks

Physica A: Statistical Mechanics and its Applications, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Angstmann, CN, Henry, BI, McGann, AV
openaire   +4 more sources

Geometric Asian option pricing under the environment of a mixed fractional Brownian motion and discrete dividend payments

Filomat
In 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, Guitian He, Weiting Zhang, Zhenhui Huang, Juncong Lai   +4 more
openaire   +3 more sources

Deposit Insurance Pricing of Excess Reinsurance Based on Geometric Fractional Brownian Motion

Advances in Applied Mathematics, 2015
海梅 刘
openaire   +2 more sources

Stock Prediction Model Based on Mixed Fractional Brownian Motion and Improved Fractional-Order Particle Swarm Optimization Algorithm

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, Chunna Zhao, Jing Li, Yaqun Huang   +3 more
doaj   +1 more source

The effects of incorporating memory and stochastic volatility into GBM to forecast exchange rates of Euro

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
doaj   +1 more source