EFFICIENT ESTIMATORS FOR GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

Abstract

This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived. After, simulation experiments are conducted to examine the performance of the proposed estimators. The result shows that the proposed method provides efficient estimates for the parameters. Thus, the proposed model is promising and can apply in real financial environments.