The valuation of currency options by fractional Brownian motion

The valuation of currency options by fractional Brownian motion

This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies...

Full description

Bibliographic Details
Main Authors: Shokrollahi, Foad, Kilicman, Adem
Format: Article
Language:English
Published: SpringerOpen 2016
Online Access:http://psasir.upm.edu.my/id/eprint/53113/
http://psasir.upm.edu.my/id/eprint/53113/1/The%20valuation%20of%20currency%20options%20by%20fractional%20Brownian%20motion.pdf

Similar Items

Similar Items