Pricing currency options by generalizations of the mixed fractional brownian motion
Option pricing is an active area in financial industry. The value of option pricing is usually obtained by means of a mathematical option pricing model. Since fractional Brownian motion and mixed fractional Brownian motion processes have some important features in order to get typical tail behavi...
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| Format: | Thesis |
| Language: | English |
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2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/69127/1/FS%202016%2049%20IR.pdf |