Gfbm bof
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Gfbm bof
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WebDec 2, 2024 · We study the semimartingale properties for the generalized fractional Brownian motion (GFBM) introduced by Pang and Taqqu (2024) and discuss the applications of the GFBM and its mixtures to financial asset pricing. The GFBM is self-similar and has non-stationary increments, whose Hurst index is determined by two … WebThe GFBM is self-similar and has non-stationary increments, whose Hurst index $H \in (0,1)$ is determined by two parameters. We identify the region of these two parameter …
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