Citation
Shokrollahi, Foad and Kilicman, Adem
(2016)
The valuation of currency options by fractional Brownian motion.
SpringerPlus, 5 (1145).
pp. 1-15.
ISSN 2193-1801
Abstract
This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science |
| DOI Number: | https://doi.org/10.1186/s40064-016-2784-2 |
| Publisher: | SpringerOpen |
| Keywords: | Black–Scholes model; Fractional brownian motion; Currency option; Option pricing |
| Depositing User: | Ms. Nida Hidayati Ghazali |
| Date Deposited: | 31 Oct 2017 09:09 |
| Last Modified: | 31 Oct 2017 09:09 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1186/s40064-016-2784-2 |
| URI: | http://psasir.upm.edu.my/id/eprint/53113 |
| Statistic Details: | View Download Statistic |
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