%0 Journal Article
%T Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing
%A Mohammed Alhagyan
%A Masnita Misiran
%A Zurni Omar
%J Open Access Library Journal
%V 3
%N 8
%P 1-12
%@ 2333-9721
%D 2016
%I Open Access Library
%R 10.4236/oalib.1102863
%X <div style="text-align:justify;">
	<span style="line-height:1.5;">This paper presents an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model that obeys fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters (<em>¦Á</em>, <em>¦Â</em>, <em>m</em>, <em>¦Ì</em>, <em>H</em>1, and <em>H</em>2) in this model is derived. We calculated the value of European call option using the estimates based on the methods of Masnita [1] [2] and Kukush [3], traditional Black-Scholes European option price, in addition to proposed model in order to make comparison study.</span>
</div>
%K Geometric Fractional Brownian Motion
%K Fractional Ornstein-Uhlenbeck Process
%K Long Memory Stochastic Volatility
%K Innovation Algorithm
%K Constraint Transcription Method
%K Segmentation
%K Option Pricing
%K KLCI
%U http://www.oalib.com/paper/5270451