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
Andrea Sofía Otero-Cortés, Karina Acosta, Jhorland Ayala-García, Oriana Álvarez Vos, Sara Rojas
Jorge Florez-Acosta, Margarita María Gáfaro-González, Alejandra González-Ramírez, Juan Sebastián Vélez-Velásquez
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