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 |
| _version_ | 1796975831041441792 |
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| author | Shokrollahi, Foad Kilicman, Adem |
| author_facet | Shokrollahi, Foad Kilicman, Adem |
| author_sort | Shokrollahi, Foad |
| collection | UPM |
| description | 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 are presented, which demonstrate that the
FBM model is easy to use. |
| first_indexed | 2024-03-06T09:17:06Z |
| format | Article |
| id | upm.eprints-53113 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:17:06Z |
| publishDate | 2016 |
| publisher | SpringerOpen |
| record_format | dspace |
| spelling | upm.eprints-531132017-10-31T09:09:12Z http://psasir.upm.edu.my/id/eprint/53113/ The valuation of currency options by fractional Brownian motion Shokrollahi, Foad Kilicman, Adem 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 are presented, which demonstrate that the FBM model is easy to use. SpringerOpen 2016 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/53113/1/The%20valuation%20of%20currency%20options%20by%20fractional%20Brownian%20motion.pdf Shokrollahi, Foad and Kilicman, Adem (2016) The valuation of currency options by fractional Brownian motion. SpringerPlus, 5 (1145). pp. 1-15. ISSN 2193-1801 http://www.springerplus.com 10.1186/s40064-016-2784-2 |
| spellingShingle | Shokrollahi, Foad Kilicman, Adem The valuation of currency options by fractional Brownian motion |
| title | The valuation of currency options by fractional Brownian motion |
| title_full | The valuation of currency options by fractional Brownian motion |
| title_fullStr | The valuation of currency options by fractional Brownian motion |
| title_full_unstemmed | The valuation of currency options by fractional Brownian motion |
| title_short | The valuation of currency options by fractional Brownian motion |
| title_sort | valuation of currency options by fractional brownian motion |
| url | http://psasir.upm.edu.my/id/eprint/53113/1/The%20valuation%20of%20currency%20options%20by%20fractional%20Brownian%20motion.pdf |
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