Pricing currency options in the mixed fractional Brownian motion
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Publication:1673068
DOI10.1016/j.physa.2013.03.055zbMath1402.91816OpenAlexW1986746640MaRDI QIDQ1673068
Publication date: 11 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2013.03.055
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- On the mixed fractional Brownian motion
- Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
- The fractional mixed fractional Brownian motion.
- Arbitrage in fractional Brownian motion models
- Mixed fractional Brownian motion
- Stochastic calculus for fractional Brownian motion and related processes.
- A note on Wick products and the fractional Black-Scholes model
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Cross-correlations between volume change and price change
- Long-Term Memory in Stock Market Prices
- A General Fractional White Noise Theory And Applications To Finance
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Introduction to Econophysics
- Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
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