Citation
Shokrollahi, Foad and Kilicman, Adem and Ibrahim, Noor Akma and Ismail, Fudziah
(2015)
Greeks and partial differential equations for some pricing currency options models.
Malaysian Journal of Mathematical Sciences, 9 (3).
pp. 417-442.
ISSN 1823-8343; ESSN: 2289-750X
Abstract
In this study, we consider some pricing currency options models, which are using the Brownian motion, the fractional Broanian motion and the mixed fractional Brownian motion. The partial differential equations for values of European currency options and some Greeks are obtained for all these models. In addition, in the fractional environment, that parameter H has huge effect on pricing options, the impact of the Hurst parameter H is presented. Besides, comparing the Greeks for three currency options models are illustrated by some figures.
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Official URL or Download Paper: http://einspem.upm.edu.my/journal/fullpaper/vol9no...
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| Publisher: | Institute for Mathematical Research, Universiti Putra Malaysia |
| Keywords: | Greeks; Pricing options; Currency options; Fractional differential equations |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 13 Apr 2016 01:51 |
| Last Modified: | 13 Apr 2016 01:51 |
| URI: | http://psasir.upm.edu.my/id/eprint/42310 |
| Statistic Details: | View Download Statistic |
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