Geometric Fractional Brownian Motion - Articles - Scientific Research Publishing

Evaluation of Geometric Asian Power Options under Fractional Brownian Motion (Articles)

Zhijuan Mao, Zhian Liang

Journal of Mathematical Finance Vol.4 No.1, December 25, 2013

DOI: 10.4236/jmf.2014.41001 5,810 Downloads 9,840 Views Citations
This article belongs to the Special Issue on Option Pricing Research
Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion? (Articles)

Xinbing Kong, Bingyi Jing, Cuixia Li

Journal of Mathematical Finance Vol.3 No.4, November 15, 2013

DOI: 10.4236/jmf.2013.34048 3,404 Downloads 6,238 Views Citations
Financial Modeling with Geometric Brownian Motion (Articles)

Chelsea Peng, Colette Simon

Open Journal of Business and Management Vol.12 No.2, March 28, 2024

DOI: 10.4236/ojbm.2024.122065 563 Downloads 4,760 Views Citations
Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing (Articles)

Mohammed Alhagyan, Masnita Misiran, Zurni Omar

Open Access Library Journal Vol.3 No.8, August 19, 2016

DOI: 10.4236/oalib.1102863 1,639 Downloads 3,375 Views Citations
Strong Local Non-Determinism of Sub-Fractional Brownian Motion (Articles)

Nana Luan

Applied Mathematics Vol.6 No.13, November 30, 2015

DOI: 10.4236/am.2015.613194 3,486 Downloads 4,947 Views Citations
This article belongs to the Special Issue on Fractional Calculus
On the Reflected Geometric Brownian Motion with Two Barriers (Articles)

Lidong Zhang, Ziping Du

Intelligent Information Management Vol.2 No.4, May 7, 2010

DOI: 10.4236/iim.2010.23034 6,452 Downloads 11,453 Views Citations
Analysis of Hedging Profits Under Two Stock Pricing Models (Articles)

Lingyan Cao, Zheng-Feng Guo

Journal of Mathematical Finance Vol.1 No.3, November 8, 2011

DOI: 10.4236/jmf.2011.13015 4,851 Downloads 9,503 Views Citations
Energy Portfolio Management with Entry Decisions over an Infinite Horizon (Articles)

Zhen Liu

Applied Mathematics Vol.3 No.7, June 21, 2012

DOI: 10.4236/am.2012.37113 4,492 Downloads 7,312 Views Citations
Valuation of European and American Options under Variance Gamma Process (Articles)

Ferry Jaya Permana, Dharma Lesmono, Erwinna Chendra

Journal of Applied Mathematics and Physics Vol.2 No.11, October 28, 2014

DOI: 10.4236/jamp.2014.211114 4,050 Downloads 5,575 Views Citations
Pricing European Option When the Stock Price Process Is Being Driven by Geometric Brownian Motion (Articles)

Kebareng I. Moalosi-Court

Open Access Library Journal Vol.6 No.8, August 2, 2019

DOI: 10.4236/oalib.1105568 335 Downloads 1,506 Views Citations
One Dimensional Random Motion on Segment with Reflecting Edges and Dependent Increments (Articles)

Gurami Tsitsiashvili

Journal of Applied Mathematics and Physics Vol.6 No.3, March 15, 2018

DOI: 10.4236/jamp.2018.63045 727 Downloads 1,515 Views Citations
Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs (Articles)

Foad Shokrollahi

Journal of Mathematical Finance Vol.8 No.4, November 7, 2018

DOI: 10.4236/jmf.2018.84040 1,122 Downloads 2,385 Views Citations
Perpetual American Call Option under Fractional Brownian Motion Model (Articles)

Atsuo Suzuki

Journal of Mathematical Finance Vol.13 No.2, May 31, 2023

DOI: 10.4236/jmf.2023.132014 287 Downloads 1,085 Views Citations
This article belongs to the Special Issue on Pricing Strategy and Theory
Controllability of a Stochastic Neutral Functional Differential Equation Driven by a fBm (Articles)

Jingqi Han, Litan Yan

Journal of Applied Mathematics and Physics Vol.6 No.4, April 27, 2018

DOI: 10.4236/jamp.2018.64078 946 Downloads 2,193 Views Citations
From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment (Articles)

Qing Zhou, Chao Li

Journal of Mathematical Finance Vol.2 No.4, November 23, 2012

DOI: 10.4236/jmf.2012.24034 4,994 Downloads 8,454 Views Citations
Simulation of a Daily Precipitation Time Series Using a Stochastic Model with Filtering (Articles)

Chieko Gomi, Yasuhisa Kuzuha

Open Journal of Modern Hydrology Vol.3 No.4, October 23, 2013

DOI: 10.4236/ojmh.2013.34025 3,711 Downloads 6,844 Views Citations
Prediction of Stock Price Movement Using Continuous Time Models (Articles)

Masimba E. Sonono, Hopolang P. Mashele

Journal of Mathematical Finance Vol.5 No.2, May 22, 2015

DOI: 10.4236/jmf.2015.52017 4,649 Downloads 7,916 Views Citations
Optimal Amount and Timing of Investment in a Stochastic Dynamic Cournot Competition (Articles)

Yasunori Fujita

Theoretical Economics Letters Vol.6 No.1, January 19, 2016

DOI: 10.4236/tel.2016.61001 4,726 Downloads 5,851 Views Citations
Value of Waiting and Excess Entry Theorem (Articles)

Yasunori Fujita

Theoretical Economics Letters Vol.6 No.2, April 22, 2016

DOI: 10.4236/tel.2016.62023 2,313 Downloads 3,498 Views Citations
Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals (Articles)

Heli Gao

Journal of Applied Mathematics and Physics Vol.4 No.11, November 22, 2016

DOI: 10.4236/jamp.2016.411205 1,551 Downloads 2,791 Views Citations

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