Greeks and partial differential equations for some pricing currency options models

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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....

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Bibliographic Details
Main Authors:	Shokrollahi, Foad, Kilicman, Adem, Ibrahim, Noor Akma, Ismail, Fudziah
Format:	Article
Language:	English
Published:	Institute for Mathematical Research, Universiti Putra Malaysia 2015
Online Access:	http://psasir.upm.edu.my/id/eprint/42310/ http://psasir.upm.edu.my/id/eprint/42310/1/5.%20Foad%20Adem.pdf

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