Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment
Joint Authors
Shokrollahi, Foad
Kiliçman, Adem
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-09
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a mixed fractional Brownian motion with jumps.
The jump mixed fractional partial differential equation is obtained.
Some Greeks and properties volatility are discussed.
Finally the numerical simulations illustrate that our model is flexible and easy to implement.
American Psychological Association (APA)
Shokrollahi, Foad& Kiliçman, Adem. 2014. Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-503896
Modern Language Association (MLA)
Shokrollahi, Foad& Kiliçman, Adem. Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment. Mathematical Problems in Engineering No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-503896
American Medical Association (AMA)
Shokrollahi, Foad& Kiliçman, Adem. Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-503896
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-503896
