Citation
Shokrollahi, Foad and Kilicman, Adem
(2015)
Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option.
Advances in Difference Equations (257).
pp. 1-8.
ISSN 1687-1839; ESSN: 1687-1847
Abstract
This research aims to investigate the strategy of fair insurance premium actuarial approach for pricing currency option, when the value of foreign currency option follows the mixed fractional Brownian motion with jumps and the European call and put currency option are presented. It has certain reference significance to avoiding foreign exchange risk
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science |
| DOI Number: | https://doi.org/10.1186/s13662-015-0590-8 |
| Publisher: | SpringerOpen |
| Keywords: | Currency option; Actuarial approach; Mixed fractional Brownian motion; Jump process |
| Depositing User: | Mohd Hafiz Che Mahasan |
| Date Deposited: | 08 Aug 2016 04:33 |
| Last Modified: | 08 Aug 2016 04:35 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1186/s13662-015-0590-8 |
| URI: | http://psasir.upm.edu.my/id/eprint/43650 |
| Statistic Details: | View Download Statistic |
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