Sökning: "geometric fractional Brownian motion"
Hittade 1 uppsats innehållade orden geometric fractional Brownian motion.
1. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market
Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)Sammanfattning : 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. LÄS MER
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