Pricing currency options in the mixed fractional Brownian motion (Q1673068)
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scientific article; zbMATH DE number 6935119
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| English | Pricing currency options in the mixed fractional Brownian motion |
scientific article; zbMATH DE number 6935119 |
Statements
Pricing currency options in the mixed fractional Brownian motion (English)
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11 September 2018
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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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0.9241381883621216
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0.8973850011825562
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0.8807352185249329
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