Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters
DOI10.1155/2014/791418zbMATH Open1298.91154OpenAlexW2125371442WikidataQ59048532 ScholiaQ59048532MaRDI QIDQ469958FDOQ469958
Authors: Tidarut Areerak 
Publication date: 11 November 2014
Published in: ISRN Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/791418
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Cites Work
- The pricing of options and corporate liabilities
- Fractional Brownian Motions, Fractional Noises and Applications
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- Fractal Langevin equation
- An approximate approach to fractional analysis for finance
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Tools for computational finance
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
Cited In (6)
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- Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model
- Variable-length moving average approach and its application in stock investment
- Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
- FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS
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