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