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

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...

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Bibliographic Details
Main Authors:	Shokrollahi, Foad, Kilicman, Adem
Format:	Article
Language:	English
Published:	Hindawi Publishing Corporation 2014
Online Access:	http://psasir.upm.edu.my/id/eprint/35047/ http://psasir.upm.edu.my/id/eprint/35047/1/Pricing%20Currency%20Option%20in%20a%20Mixed%20Fractional%20Brownian.pdf

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