Towards a Better Understanding of Fractional Brownian Motion and Its Application to Finance

The aim of this work is to first build the underlying theory behind fractional Brownian motion and applying fractional Brownian motion to financial market. By incorporating the Hurst parameter into geometric Brownian motion in order to characterize the long memory among disjoint increments, geometri...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Bulletin of the Malaysian Mathematical Sciences Society 2023-09, Vol.46 (5), Article 150
Hauptverfasser:	Zhuang, Yuanying, Song, Xiao
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications of Mathematics Brownian motion Mathematics Mathematics and Statistics
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!