Pricing currency option in a mixed fractional Brownian motion with jumps environment
type: Item
instance of: scholarly article
title: Pricing currency option in a mixed fractional Brownian motion with jumps environment
zbMATH Open document ID: 1407.91257
DOI: 10.1155/2014/858210
author: Foad Shokrollahi
author: Adem Kilicman
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a mixed fractional Brownian motion with jumps. The jump mixed fractional partial differential equation is obtained. Some Greeks and properties volatility are discussed. Finally the numerical simulations illustrate that our model is flexible and easy to implement.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 35R11
zbMATH DE Number: 7017448
Wikidata QID: Q59070095
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/858210
OpenAlex ID: W2052099730
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description: scientific article; zbMATH DE number 7017448