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Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs

Shokrollahi, Foad (Cogent OA, an imprint of Taylor & Francis, 29.05.2018)
article

A new framework for pricing European currency option is developed in the case where the spot exchange rate follows a subdiffusive fractional Black–Scholes. An analytic formula for pricing European currency call option is ...