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Pricing currency options in a fractional Brownian motion with jumps · Study

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ArticlePricing currency options in a fractional Brownian motion with jumps

Weilin Xiao2010

Article2010

Pricing currency options in a fractional Brownian motion with jumps

Weilin Xiao · Weiguo Zhang · Xili Zhang · Wang Ying-luo

77 citations·0/0 files stored·Economic Modelling

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

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References

1976Option pricing when underlying stock returns are discontinuous 2002A Jump-Diffusion Model for Option Pricing 1991Long-Term Memory in Stock Market Prices 2000Specification Analysis of Affine Term Structure Models 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 1989Long-term Memory in Stock Market Prices 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices 1983Foreign currency option values

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2013Pricing currency options in the mixed fractional Brownian motion 2014Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment 2020Geometric fractional Brownian motion model for commodity market simulation 2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients 2019Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations

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2014Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environmentarticle · 12 shared references 2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficientsarticle · 9 shared references 2002Parametric and Nonparametric Volatility Measurementreport · 8 shared references 2011The valuation of equity warrants in a fractional Brownian environmentarticle · 8 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 7 shared references 2013Pricing currency options in the mixed fractional Brownian motionarticle · 7 shared references

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Year2010

Typearticle

Published2010-06-17

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations77

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.econmod.2010.05.010

openalex_workW2065229282

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2015

Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option