Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option

DOI10.1186/S13662-015-0590-8zbMath1422.91721OpenAlexW1793012140WikidataQ59430184 ScholiaQ59430184MaRDI QIDQ1721889

Foad Shokrollahi, Adem Kilicman

Publication date: 13 February 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-015-0590-8

zbMATH Keywords

jump processcurrency optionmixed fractional Brownian motionactuarial approach

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ Hedging in fractional Black-Scholes model with transaction costs ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps ⋮ Default probability of American lookback option in a mixed jump-diffusion model

Cites Work

• The Pricing of Options and Corporate Liabilities
• A class of nonlinear stochastic volatility models and its implications for pricing currency options
• An actuarial approach to option pricing under the physical measure and without market assumptions
• Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
• Alternative models for stock price dynamics.
• The fractional mixed fractional Brownian motion.
• Arbitrage in fractional Brownian motion models
• Pricing currency options in the mixed fractional Brownian motion
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• A note on Wick products and the fractional Black-Scholes model

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