Articlehybrid2014

Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment

52 citations0/0 files storedMathematical Problems in Engineering

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 52 citations exist upstream.

References

1976Option pricing when underlying stock returns are discontinuous 1993A long memory property of stock market returns and a new model 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2002A Jump-Diffusion Model for Option Pricing 1991Long-Term Memory in Stock Market Prices 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series 1989Long-term Memory in Stock Market Prices

Cited by

2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients 2016Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs 2015Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option 2022A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion 2018

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.