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 |
| _version_ | 1848850285200408576 |
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| author | Shokrollahi, Foad Kilicman, Adem |
| author_facet | Shokrollahi, Foad Kilicman, Adem |
| author_sort | Shokrollahi, Foad |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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 reference significance to avoiding foreign exchange risk |
| first_indexed | 2025-11-15T10:03:51Z |
| format | Article |
| id | upm-43650 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:03:51Z |
| publishDate | 2015 |
| publisher | SpringerOpen |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-436502016-08-08T04:35:03Z http://psasir.upm.edu.my/id/eprint/43650/ Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option Shokrollahi, Foad Kilicman, Adem 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 reference significance to avoiding foreign exchange risk SpringerOpen 2015 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/43650/1/Actuarial%20approach%20in%20a%20mixed%20fractional.pdf Shokrollahi, Foad and Kilicman, Adem (2015) Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option. Advances in Difference Equations (257). pp. 1-8. ISSN 1687-1839; ESSN: 1687-1847 http://download.springer.com/static/pdf/273/art%253A10.1186%252Fs13662-015-0590-8.pdf?originUrl=http%3A%2F%2Flink.springer.com%2Farticle%2F10.1186%2Fs13662-015-0590-8&token2=exp=1468383701~acl=%2Fstatic%2Fpdf%2F273%2Fart%25253A10.1186%25252Fs13662-015-059 10.1186/s13662-015-0590-8 |
| spellingShingle | Shokrollahi, Foad Kilicman, Adem Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option |
| title | Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option |
| title_full | Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option |
| title_fullStr | Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option |
| title_full_unstemmed | Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option |
| title_short | Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option |
| title_sort | actuarial approach in a mixed fractional brownian motion with jumps environment for pricing currency option |
| url | http://psasir.upm.edu.my/id/eprint/43650/ http://psasir.upm.edu.my/id/eprint/43650/ http://psasir.upm.edu.my/id/eprint/43650/ http://psasir.upm.edu.my/id/eprint/43650/1/Actuarial%20approach%20in%20a%20mixed%20fractional.pdf |