Pricing currency option in a mixed fractional Brownian motion with jumps environment

DOI10.1155/2014/858210zbMath1407.91257OpenAlexW2052099730WikidataQ59070095 ScholiaQ59070095MaRDI QIDQ1719257

Foad Shokrollahi, Adem Kilicman

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/858210

Mathematics Subject Classification ID

Related Items (20)

Pricing geometric Asian power options under mixed fractional Brownian motion environment ⋮ A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS ⋮ Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients ⋮ The quadratic variation for mixed-fractional Brownian motion ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ Hedging in fractional Black-Scholes model with transaction costs ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS ⋮ Fractional processes and their statistical inference: an overview ⋮ Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps ⋮ Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs ⋮ The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion ⋮ Pricing compound and extendible options under mixed fractional Brownian motion with jumps ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps ⋮ Default probability of American lookback option in a mixed jump-diffusion model ⋮ Asymptotics for discrete time hedging errors under fractional Black-Scholes models

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• 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
• Alternative models for stock price dynamics.
• The fractional mixed fractional Brownian motion.
• Arbitrage in fractional Brownian motion models
• Pricing currency options in the 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
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Long-Term Memory in Stock Market Prices
• A General Fractional White Noise Theory And Applications To Finance
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Pricing currency option in a mixed fractional Brownian motion with jumps environment