Explain the role of the Hurst exponent in fractional Brownian motion.

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Options Futures And Other Derivatives

ISBN: 9780136939979

11th Edition

Authors: John C. Hull

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Question Posted: Mar 26, 2024 05:00 AM

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Explain the role of the Hurst exponent in fractional Brownian motion.

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In fractional Brownian motion fBm the Hurst exponent H plays a crucial role in characterizing the lo...View the full answer

Options Futures And Other Derivatives

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