• 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