Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market
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, spe...
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| Format: | Others |
| Language: | English |
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Linnéuniversitetet, Institutionen för matematik (MA)
2018
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375 |