Borradores de Economia
Número:
648
Publicado:
Clasificación JEL:
C15, C53, C63, G17, G14
Palabras clave:
Montecarlo simulation, Fractional Brownian Motion, Hurst exponent, long-term dependence
Lo más reciente
Leonardo Fabio Morales, Leonardo Bonilla-Mejía, Didier Hermida-Giraldo, Francisco Javier Lasso-Valderrama, José Pulido
Constanza Martínez-Ventura, Ligia Alba Melo-Becerra
Leonardo Fabio Morales, Juan Chaparro-Cardona, Eleonora Dávalos, Nataly Corredor-Martinez
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