Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing

ISSN Print: 2333-9705
ISSN Online: 2333-9721
www.scirp.net/journal/oalibj
E-mail: [email protected]

Citations

"Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing"
written by Mohammed Alhagyan, Masnita Misiran, Zurni Omar,
published by Open Access Library Journal, Vol.3 No.8, 2016

has been cited by the following article(s):

[1]	Forecasting the Performance of the Energy Sector at the Saudi Stock Exchange Market by Using GBM and GFBM
	2024

[2]	FORECASTING EXCHANGE RATE OF SAR/CNY BY INCORPORATING MEMORY AND STOCHASTIC VOLATILITY INTO GBM MODEL
	Advances and Applications in …, 2023

[3]	Incorporating stochastic volatility and long memory into geometric Brownian motion model to forecast performance of Standard and Poor's 500 index
	AIMS Math, 2023

[4]	The effect of incorporating memory and stochastic volatility into geometric Brownian motion in forecasting the performance of Tadawul all share Index (TASI)
	Advances and Applications in …, 2022

[5]	FORECAST EXCHANGE RATES OF EURO USING GEOMETRIC BROWNIAN MOTION MODEL ACCORDING TO FOUR DIFFERENT WAYS TO COMPUTE …
	Advances and Applications in …, 2022

[6]	The effects of incorporating memory and stochastic volatility into GBM to forecast exchange rates of Euro
	Alexandria Engineering Journal, 2022

[7]	ON EFFECTS OF STOCHASTIC VOLATILITY AND LONG MEMORY TOWARDS MORTGAGE INSURANCE MODELS: AN EMPIRICAL STUDY
	2021

[8]	FORECASTING THE PERFORMANCE OF TADAWUL ALL SHARE INDEX (TASI) USING GEOMETRIC BROWNIAN MOTION AND GEOMETRIC FRACTIONAL …
	2020

[9]	A Comparative Analysis of Estimation Methods For Stochastic Differential Equations: An Application to South African Interest Rates
	2020

[10]	Geometric fractional Brownian motion model for commodity market simulation
	2020