Pricing currency options in the mixed fractional Brownian motion (Q1673068)

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Pricing currency options in the mixed fractional Brownian motion
scientific article

    Statements

    title
    Pricing currency options in the mixed fractional Brownian motion (English)
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    author
    Lin Sun
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    published in
    Physica A
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    publication date
    11 September 2018
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    zbMATH Keywords
    mixed fractional Brownian motion
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    quasi-conditional expectation
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    currency option
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    option pricing
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G22
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    60H30
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    zbMATH DE Number
    6935119
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    OpenAlex ID
    W1986746640
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