Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion

zbMATH Open1341.60025MaRDI QIDQ2810020

Dimitrij Melichov

Publication date: 30 May 2016

Published in: Lietuvos Matematikos Rinkinys. Lietuvos Matematiku Draugijos Darbai (Search for Journal in Brave)

zbMATH Keywords

estimationHurst indexincrement ratio statisticfractional Black-Scholes modelfractional geometric Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Related Items (1)

Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method

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