$Estimating dynamic geometric fractional brownian motion and its application to long-memory option pricing$
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Estimating dynamic geometric fractional brownian motion and its application to long-memory option pricing

Geometric fractional Brownian motion (GFBM) is an extended dynamic model of the traditional geometric Brownian motion, and has been used in characterizing the long term memory dynamic behavior of financial time series and in pricing long-memory options. A crucial problem in its applications is how t...

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Bibliographic Details
Main Authors:	Misiran, M., Zudi, L., Teo, Kok Lay, Grace, A.
Format:	Journal Article
Published:	2012
Online Access:	http://hdl.handle.net/20.500.11937/11322

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