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 |
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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 |
| _version_ | 1796972627972063232 |
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| author | Shokrollahi, Foad Kilicman, Adem |
| author_facet | Shokrollahi, Foad Kilicman, Adem |
| author_sort | Shokrollahi, Foad |
| collection | UPM |
| description | 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 numerical simulations illustrate that our model is flexible and easy to implement. |
| first_indexed | 2024-03-06T08:31:07Z |
| format | Article |
| id | upm.eprints-35047 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:31:07Z |
| publishDate | 2014 |
| publisher | Hindawi Publishing Corporation |
| record_format | dspace |
| spelling | upm.eprints-350472015-12-29T07:37:35Z http://psasir.upm.edu.my/id/eprint/35047/ Pricing currency option in a mixed fractional Brownian motion with jumps environment Shokrollahi, Foad Kilicman, Adem 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 numerical simulations illustrate that our model is flexible and easy to implement. Hindawi Publishing Corporation 2014 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/35047/1/Pricing%20Currency%20Option%20in%20a%20Mixed%20Fractional%20Brownian.pdf Shokrollahi, Foad and Kilicman, Adem (2014) Pricing currency option in a mixed fractional Brownian motion with jumps environment. Mathematical Problems in Engineering, 2014. art. no. 858210. pp. 1-13. ISSN 1024-123X; ESSN: 1563-5147 http://www.hindawi.com/journals/mpe/2014/858210/abs/ 10.1155/2014/858210 |
| spellingShingle | Shokrollahi, Foad Kilicman, Adem Pricing currency option in a mixed fractional Brownian motion with jumps environment |
| title | Pricing currency option in a mixed fractional Brownian motion with jumps environment |
| title_full | Pricing currency option in a mixed fractional Brownian motion with jumps environment |
| title_fullStr | Pricing currency option in a mixed fractional Brownian motion with jumps environment |
| title_full_unstemmed | Pricing currency option in a mixed fractional Brownian motion with jumps environment |
| title_short | Pricing currency option in a mixed fractional Brownian motion with jumps environment |
| title_sort | pricing currency option in a mixed fractional brownian motion with jumps environment |
| url | http://psasir.upm.edu.my/id/eprint/35047/1/Pricing%20Currency%20Option%20in%20a%20Mixed%20Fractional%20Brownian.pdf |
| work_keys_str_mv | AT shokrollahifoad pricingcurrencyoptioninamixedfractionalbrownianmotionwithjumpsenvironment AT kilicmanadem pricingcurrencyoptioninamixedfractionalbrownianmotionwithjumpsenvironment |