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Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm
16 references·1 citing·40 second hop
Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm (2014)Parameter identification in mixed Brownia…Pricing currency options in the mixed fractional Brownian motion (2013)Pricing currency options in t…Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm (2012)Pricing model for equity warr…A note on the use of fractional Brownian motion for financial modeling (2012)A note on the use of fraction…Estimators of long-memory: Fourier versus wavelets (2009)Estimators of long-memory: Fo…Equity warrants pricing model under Fractional Brownian motion and an empirical study (2008)Equity warrants pricing model…Long‐Memory Time Series (2006)Long‐Memory Time SeriesA note on Wick products and the fractional Black-Scholes model (2005)A note on Wick products and t…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Fractional Brownian motion, random walks and binary market models (2001)Fractional Brownian motion, r…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets (2020)Maximum likelihood estimators…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)Arbitrage in fractional Brownian motion models (2003)On bifractional Brownian motion (2005)Stochastic Integration and Differential Equations (2005)Some properties of the sub-fractional Brownian motion (2006)Fractals and Scaling in Finance (1997)A comment on measuring the Hurst exponent of financial time series (2004)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)A General Fractional White Noise Theory And Applications To Finance (2003)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)An equilibrium characterization of the term structure (1977)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Forecasting the Term Structure of Government Bond Yields (2003)Wavelet analysis of long-range-dependent traffic (1998)The Distribution of Realized Exchange Rate Volatility (2001)Volatility Is Rough (2018)Modelling Nonlinear Economic Time Series (2010)Understanding collective crowd behaviors: Learning a Mixture model of Dynamic pedestrian-Agents (2012)Learning Collective Crowd Behaviors with Dynamic Pedestrian-Agents (2014)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The detection and estimation of long memory in stochastic volatility (1998)Scaling of the distribution of fluctuations of financial market indices (1999)Long memory and regime switching (2001)
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References

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  • 2012Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm61 cited
  • 2008

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Equity warrants pricing model under Fractional Brownian motion and an empirical study
34 cited

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  • 2020Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets15 cited