$Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators$
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Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators

This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). An analysis of the Hurst values estimated using three different methods, namely, rescaled range analysis, aggravate variance, and residuals of regression. T...

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Bibliographic Details
Main Authors:	Balasubramaniam, Srivennila Sri, Ibrahim, Siti N.
Format:	Article
Published:	Universiti Teknologi Malaysia 2023
Online Access:	http://psasir.upm.edu.my/id/eprint/109172/

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