Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
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Publication:1721889
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
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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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