Essays about: "geometric fractional Brownian motion"
Found 1 essay containing the words geometric fractional Brownian motion.
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1. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. READ MORE
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