Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters

DOI10.1155/2014/791418MaRDI QIDQ469958zbMATH OpenOpenAlexWikidataFDO

Authors Tidarut Areerak

Publication date 11 November 2014

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/791418

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• An approximate approach to fractional analysis for finance
• Fractal Langevin equation
• Fractional Brownian Motions, Fractional Noises and Applications
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• The pricing of options and corporate liabilities
• Tools for computational finance

Cited in

(6)

• Variable-length moving average approach and its application in stock investment
• scientific article; zbMATH DE number 2169102 (Why is no real title available?)
• FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS
• Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
• scientific article; zbMATH DE number 797365 (Why is no real title available?)
• Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model

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