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
Pages
18
From page
3441
To page
3458
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
Serial Year
2013
Journal title
Physica A Statistical Mechanics and its Applications
Record number
1737114
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