Pricing currency options in the mixed fractional Brownian motion
type: Item
instance of: scholarly article
title: Pricing currency options in the mixed fractional Brownian motion
zbMATH Open document ID: 1402.91816
author: Lin Sun
published in: Physica A
publication date: 2018-09-11T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6935119
zbMATH Keywords: mixed fractional Brownian motion
zbMATH Keywords: quasi-conditional expectation
zbMATH Keywords: currency option
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: j.physa.2013.03.055
OpenAlex ID: W1986746640
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DOI: 10.1016/J.PHYSA.2013.03.055
description: scientific article; zbMATH DE number 6935119