Sökning: "circulant embedding method"
Hittade 1 uppsats innehållade orden circulant embedding method.
1. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. LÄS MER
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