Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients

DOI10.1016/J.PHYSA.2019.01.145OpenAlexW2911559955WikidataQ128435746 ScholiaQ128435746MaRDI QIDQ2157559

Sim Yun, Nam-Ung Kim, Kyong-Hui Kim, Ju-Hyuang Ri

Publication date: 22 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.01.145

zbMATH Keywords

jumpexchange optiongeneralized mixed fractional Brownian motioneuropean currency option

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Self-similar stochastic processes (60G18) Statistical mechanics, structure of matter (82-XX)

Related Items (8)

Pricing geometric Asian power options in the sub-fractional Brownian motion environment ⋮ PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS ⋮ Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model ⋮ Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market) ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment ⋮ Towards a better understanding of fractional Brownian motion and its application to finance ⋮ Option pricing under time interval driven model

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