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Montecarlo simulation of long-term dependent processes: a primer

Carlos Eduardo
Reveiz Herault
Viernes, 1 Abril 2011

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion