"Mixed fractional Brownian motion" - Selaus asiasanan mukaanArtikkelit
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Long-range dependent completely correlated mixed fractional Brownian motion
(Elsevier, 23.12.2023)
articleIn this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motion (Bm) and a long-range dependent completely ... -
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
(Taylor & Francis, 30.05.2020)
articleMixed fractional Brownian motion is a linear combination of Brownian motion and independent Fractional Brownian motion that is extensively used for option pricing. The consideration of the mixed process is able to capture ...