The valuation of currency options by fractional Brownian motion.

Clicks: 56
ID: 30614
2016
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Abstract
This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use.
Reference Key
shokrollahi2016thespringerplus Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Shokrollahi, Foad;Kılıçman, Adem;
Journal SpringerPlus
Year 2016
DOI
10.1186/s40064-016-2784-2
URL
Keywords Keywords not found

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