Pricing currency option in a mixed fractional Brownian motion with jumps environment

Citation

Shokrollahi, Foad and Kilicman, Adem (2014) Pricing currency option in a mixed fractional Brownian motion with jumps environment. Mathematical Problems in Engineering, 2014. art. no. 858210. pp. 1-13. ISSN 1024-123X; ESSN: 1563-5147

Abstract

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.

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Additional Metadata

Item Type:	Article
Divisions:	Institute for Mathematical Research
DOI Number:	https://doi.org/10.1155/2014/858210
Publisher:	Hindawi Publishing Corporation
Keywords:	Pricing currency; Brownian motion; Currency option; Jumps
Depositing User:	Nurul Ainie Mokhtar
Date Deposited:	29 Dec 2015 07:37
Last Modified:	29 Dec 2015 07:37
Altmetrics:	http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1155/2014/858210
URI:	http://psasir.upm.edu.my/id/eprint/35047
Statistic Details:	View Download Statistic

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