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A note on the use of fractional Brownian motion for financial modeling

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Cited by:

  1. Stijn De Backer & Luis E. C. Rocha & Jan Ryckebusch & Koen Schoors, 2025. "Characterizing asymmetric and bimodal long-term financial return distributions through quantum walks," Papers 2505.13019, arXiv.org.
  2. Rami Ahmad El-Nabulsi & Waranont Anukool, 2025. "Qualitative financial modelling in fractal dimensions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-47, December.
  3. Yu-Sheng Hsu & Pei-Chun Chen & Cheng-Hsun Wu, 2020. "The Optimal Limit Prices of Limit Orders under an Extended Geometric Brownian Motion with Bankruptcy Risk," Mathematics, MDPI, vol. 9(1), pages 1-13, December.
  4. Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
  5. Ballestra, Luca Vincenzo & Pacelli, Graziella & Radi, Davide, 2016. "A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 240-248.
  6. Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017. "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, vol. 22(C), pages 20-29.
  7. Zhang, Pu & Sun, Qi & Xiao, Wei-Lin, 2014. "Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm," Economic Modelling, Elsevier, vol. 40(C), pages 314-319.
  8. Wang, Lu & Zhang, Rong & Yang, Lin & Su, Yang & Ma, Feng, 2018. "Pricing geometric Asian rainbow options under fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 8-16.
  9. Liu, Zhibin & Huang, Shan, 2021. "Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  10. Calisse, Frank, 2019. "The impact of long-range dependence in the capital stock on interest rate and wealth distribution," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203591, Verein für Socialpolitik / German Economic Association.
  11. De Backer, Stijn & Rocha, Luis E.C. & Ryckebusch, Jan & Schoors, Koen, 2025. "On the potential of quantum walks for modeling financial return distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 657(C).
  12. Ahmadian, D. & Ballestra, L.V., 2020. "Pricing geometric Asian rainbow options under the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
  13. Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2023. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Papers 2311.15635, arXiv.org, revised Dec 2024.
  14. Manley, Bruce & Niquidet, Kurt, 2017. "How does real option value compare with Faustmann value when log prices follow fractional Brownian motion?," Forest Policy and Economics, Elsevier, vol. 85(P1), pages 76-84.
  15. Alexander Kukush & Stanislav Lohvinenko & Yuliya Mishura & Kostiantyn Ralchenko, 2022. "Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 159-187, April.
  16. Foad Shokrollahi & Davood Ahmadian & Luca Vincenzo Ballestra, 2021. "Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps," Papers 2105.06999, arXiv.org.
  17. Kohei Hayashi & Kei Nakagawa, 2022. "Fractional SDE-Net: Generation of Time Series Data with Long-term Memory," Papers 2201.05974, arXiv.org, revised Aug 2022.
  18. Rodríguez-Aguilar, Román & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter," MPRA Paper 59046, University Library of Munich, Germany.
  19. Cheraghalizadeh, Jafar & Valizadeh, Neda & Tizdast, Susan & Najafi, Morteza N., 2024. "Fractional Brownian motion as a rough surface," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 646(C).
  20. Dufera, Tamirat Temesgen, 2024. "Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
  21. Stijn De Backer & Luis E. C. Rocha & Jan Ryckebusch & Koen Schoors, 2024. "On the potential of quantum walks for modeling financial return distributions," Papers 2403.19502, arXiv.org, revised Dec 2024.
  22. Axel A. Araneda, 2019. "The fractional and mixed-fractional CEV model," Papers 1903.05747, arXiv.org, revised Jun 2019.
  23. Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
  24. Liu, Song & Yang, Ran & Li, Xiaoyan & Xiao, Jian, 2021. "Global attractiveness and consensus for Riemann–Liouville’s nonlinear fractional systems with mixed time-delays," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  25. Farshid Mehrdoust & Ali Reza Najafi, 2018. "Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 685-706, August.
  26. Shokrollahi, F. & Ahmadian, D. & Ballestra, L.V., 2024. "Pricing Asian options under the mixed fractional Brownian motion with jumps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 226(C), pages 172-183.
  27. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
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