Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
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 refer...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/43650/ http://psasir.upm.edu.my/id/eprint/43650/1/Actuarial%20approach%20in%20a%20mixed%20fractional.pdf |