Greeks and partial differential equations for some pricing currency options models
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....
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/42310/ http://psasir.upm.edu.my/id/eprint/42310/1/5.%20Foad%20Adem.pdf |
| _version_ | 1848849928820883456 |
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| author | Shokrollahi, Foad Kilicman, Adem Ibrahim, Noor Akma Ismail, Fudziah |
| author_facet | Shokrollahi, Foad Kilicman, Adem Ibrahim, Noor Akma Ismail, Fudziah |
| author_sort | Shokrollahi, Foad |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T09:58:11Z |
| format | Article |
| id | upm-42310 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:58:11Z |
| publishDate | 2015 |
| publisher | Institute for Mathematical Research, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-423102016-04-13T01:51:54Z http://psasir.upm.edu.my/id/eprint/42310/ Greeks and partial differential equations for some pricing currency options models Shokrollahi, Foad Kilicman, Adem Ibrahim, Noor Akma Ismail, Fudziah 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. Institute for Mathematical Research, Universiti Putra Malaysia 2015 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/42310/1/5.%20Foad%20Adem.pdf 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 http://einspem.upm.edu.my/journal/fullpaper/vol9no3/5.%20Foad%20Adem.pdf |
| spellingShingle | Shokrollahi, Foad Kilicman, Adem Ibrahim, Noor Akma Ismail, Fudziah Greeks and partial differential equations for some pricing currency options models |
| title | Greeks and partial differential equations for some pricing currency options models |
| title_full | Greeks and partial differential equations for some pricing currency options models |
| title_fullStr | Greeks and partial differential equations for some pricing currency options models |
| title_full_unstemmed | Greeks and partial differential equations for some pricing currency options models |
| title_short | Greeks and partial differential equations for some pricing currency options models |
| title_sort | greeks and partial differential equations for some pricing currency options models |
| url | http://psasir.upm.edu.my/id/eprint/42310/ http://psasir.upm.edu.my/id/eprint/42310/ http://psasir.upm.edu.my/id/eprint/42310/1/5.%20Foad%20Adem.pdf |