Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model

Mohammed Alhagyan; Masnita Misiran; Zurni Omar

doi:10.17654/MS099020221

Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model

Mohammed Alhagyan
, Masnita Misiran
, Zurni Omar

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

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 n = 3 is calculated to illustrate the calculation to accompany this derivation.

Original language	English
Pages (from-to)	221-235
Number of pages	15
Journal	Far East Journal of Mathematical Sciences
Volume	99
Issue number	2
DOIs	https://doi.org/10.17654/MS099020221
State	Published - Jan 2016
Externally published	Yes

Keywords

Fractional Ornstein-Uhlenbeck process
Geometric fractional Brownian motion
Innovation algorithm
Long memory stochastic volatility

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10.17654/MS099020221

Cite this

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title = "Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model",

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 n = 3 is calculated to illustrate the calculation to accompany this derivation.",

keywords = "Fractional Ornstein-Uhlenbeck process, Geometric fractional Brownian motion, Innovation algorithm, Long memory stochastic volatility",

author = "Mohammed Alhagyan and Masnita Misiran and Zurni Omar",

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year = "2016",

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T1 - Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model

AU - Alhagyan, Mohammed

AU - Misiran, Masnita

AU - Omar, Zurni

PY - 2016/1

Y1 - 2016/1

N2 - 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 n = 3 is calculated to illustrate the calculation to accompany this derivation.

AB - 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 n = 3 is calculated to illustrate the calculation to accompany this derivation.

KW - Fractional Ornstein-Uhlenbeck process

KW - Geometric fractional Brownian motion

KW - Innovation algorithm

KW - Long memory stochastic volatility

UR - https://www.scopus.com/pages/publications/84952690781

U2 - 10.17654/MS099020221

DO - 10.17654/MS099020221

M3 - Article

AN - SCOPUS:84952690781

SN - 0972-0871

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SP - 221

EP - 235

JO - Far East Journal of Mathematical Sciences

JF - Far East Journal of Mathematical Sciences

IS - 2

ER -

Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model

Abstract

Keywords

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