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Geometric fractional Brownian motion model for commodity market simulation
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1988Approach to an irregular time series on the basis of the fractal theory2,164 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,065 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
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  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 2015Modeling energy price dynamics: GARCH versus stochastic volatility194 cited
  • 1997Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator154 cited
  • 2004Mathematics for Finance: An Introduction to Financial Engineering118 cited
  • 2012

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A note on the use of fractional Brownian motion for financial modeling
106 cited
  • 2008Fundamentals of Forecasting Using Excel93 cited
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