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
Juliana Jaramillo-Echeverri, María Teresa Ramírez-Giraldo
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Juan J. Ospina-Tejeiro, Edgar Caicedo-García
Leonardo Fabio Morales, Diego Astorga-Rojas, Nicolas Guida-Johnson
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