Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2015) Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model. Far East Journal of Mathematical Sciences (FJMS), 99 (2). pp. 221-235. ISSN 0972-0871

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Abstract

This article is aimed at to derive geometric fractional Brownian motion where its volatility follow long memory stochastic volatility model, in particular the fractional Ornstein-Uhlenbech process. The innovation algorithm is utilized to simplify such derivation. A simple case of is calculated to illustrate the calculation to accompany this derivation.

Item Type:	Article
Uncontrolled Keywords:	geometric fractional Brownian motion, fractional Ornstein-Uhlenbeck process, long memory stochastic volatility, innovation algorithm
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Dr. Masnita Misiran @ Bakun
Date Deposited:	13 Apr 2017 07:15
Last Modified:	13 Apr 2017 07:15
URI:	https://repo.uum.edu.my/id/eprint/21561

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