$Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option$
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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...

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Bibliographic Details
Main Authors:	Shokrollahi, Foad, Kilicman, Adem
Format:	Article
Language:	English
Published:	SpringerOpen 2015
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

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