Efficient hedging currency options in fractional Brownian motion model with jumps

DOI10.1016/J.PHYSA.2019.122868OpenAlexW2976741390MaRDI QIDQ2164804

Ju-Hyang Ri, Dong-Chol Ju, Kyong-Hui Kim, Nam-Ung Kim

Publication date: 17 August 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122868

zbMATH Keywords

fractional Brownian motionefficient hedgingjump noiseexchange optioneuropean call option

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• A new exact solution for pricing European options in a two-state regime-switching economy
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Quantile hedging of equity-linked life insurance policies
• Efficient hedging of equity-linked life insurance policies
• Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
• Alternative models for stock price dynamics.
• Efficient hedging: cost versus shortfall risk
• Mixed fractional Brownian motion
• Pricing currency options in the mixed fractional Brownian motion
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Quantile hedging
• Pricing by hedging and no-arbitrage beyond semimartingales
• Estimation of parameters in the fractional compound Poisson process
• Option pricing under regime-switching jump-diffusion models
• On pricing barrier options with regime switching
• A note on Wick products and the fractional Black-Scholes model
• Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
• A General Fractional White Noise Theory And Applications To Finance
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Efficient hedging in general Black-Scholes model
• Option pricing when underlying stock returns are discontinuous
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model

This page was built for publication: Efficient hedging currency options in fractional Brownian motion model with jumps