The valuation of currency options by fractional Brownian motion
Shokrollahi, Foad; Kılıçman, Adem (2016)
Springer Internat. Publ.
2016
Julkaisun pysyvä osoite on
http://urn.fi/URN:NBN:fi-fe202104089767
http://urn.fi/URN:NBN:fi-fe202104089767
Kuvaus
vertaisarvioitu
© 2016 The Author(s). This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
© 2016 The Author(s). This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Tiivistelmä
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.
Kokoelmat
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