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

DOI10.1186/S13662-015-0590-8MaRDI QIDQ1721889zbMATH OpenOpenAlexWikidataFDO

Authors Foad Shokrollahi, Adem Kilicman

Publication date 13 February 2019

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

actuarial approachcurrency optionjump processmixed fractional Brownian motion

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(10)

• 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
• Hedging in fractional Black-Scholes model with transaction costs
• 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
• Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
• Strong convergence of Lévy-driven mixed stochastic integro-differential equations with application to the rough mixed volatility models
• Pricing Asian options under the mixed fractional Brownian motion with jumps
• A stochastic framework for ruin probabilities under time-changed Brownian motion

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