The valuation of currency options by fractional Brownian motion

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annif.suggestionsprices|pricing|currency|options (securities)|security market|legislative motions|financial markets|motion|differential equations|stochastic processes|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p750|http://www.yso.fi/onto/yso/p10773|http://www.yso.fi/onto/yso/p3573|http://www.yso.fi/onto/yso/p3416|http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p21385|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p706|http://www.yso.fi/onto/yso/p3552|http://www.yso.fi/onto/yso/p11400en
dc.contributor.authorShokrollahi, Foad
dc.contributor.authorKılıçman, Adem
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0003-1434-0949-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2021-04-08T12:29:09Z
dc.date.accessioned2025-06-25T12:57:30Z
dc.date.available2021-04-08T12:29:09Z
dc.date.issued2016
dc.description.abstractThis 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.-
dc.description.notification© 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.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent15-
dc.format.pagerangeArtikkelinumero: 1145-
dc.identifier.olddbid13962
dc.identifier.oldhandle10024/12347
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1223
dc.identifier.urnURN:NBN:fi-fe202104089767-
dc.language.isoeng-
dc.publisherSpringer Internat. Publ.-
dc.relation.doi10.1186/s40064-016-2784-2-
dc.relation.ispartofjournalSpringerPlus-
dc.relation.issn2193-1801-
dc.relation.issue1-
dc.relation.urlhttps://doi.org/10.1186/s40064-016-2784-2-
dc.relation.volume5-
dc.rightsCC BY 4.0-
dc.source.identifierScopus: 84979231313-
dc.source.identifierWOS: 000381636800004-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/12347
dc.subjectBlack–Scholes model-
dc.subjectFractional Brownian motion-
dc.subjectCurrency option-
dc.subjectOption pricing-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titleThe valuation of currency options by fractional Brownian motion-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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