Pricing currency option in a mixed fractional Brownian motion with jumps environment
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a mixed fractional Brownian motion with jumps. The jump mixed fractional partial differential equation is obtained. Some Greeks and properties volatility are discussed. Finally the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Publishing Corporation
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/35047/1/Pricing%20Currency%20Option%20in%20a%20Mixed%20Fractional%20Brownian.pdf |