Title of article :
Pricing currency options in the mixed fractional Brownian motion
Author/Authors :
Sun، نويسنده , , Lin، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2013
Abstract :
This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.
Keywords :
Mixed fractional Brownian motion , Quasi-conditional expectation , Currency option , Option Pricing
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications