Efficient hedging currency options in fractional Brownian motion model with jumps

DOI10.1016/J.PHYSA.2019.122868MaRDI QIDQ2164804zbMATH OpenOpenAlexFDO

Authors Kyong-Hui Kim, Nam-Ung Kim, Dong-Chol Ju, Ju-Hyang Ri

Publication date 17 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.122868

zbMATH Keywords

efficient hedgingeuropean call optionexchange optionfractional Brownian motionjump noise

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A General Fractional White Noise Theory And Applications To Finance
• A jump-diffusion model for option pricing
• A new exact solution for pricing European options in a two-state regime-switching economy
• A note on Wick products and the fractional Black-Scholes model
• Alternative models for stock price dynamics.
• Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Efficient hedging in general Black-Scholes model
• Efficient hedging of equity-linked life insurance policies
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Efficient hedging: cost versus shortfall risk
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Estimation of parameters in the fractional compound Poisson process
• scientific article; zbMATH DE number 1642347 (Why is no real title available?)
• scientific article; zbMATH DE number 1069535 (Why is no real title available?)
• scientific article; zbMATH DE number 5220411 (Why is no real title available?)
• Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
• Mixed fractional Brownian motion
• On pricing barrier options with regime switching
• Option pricing under regime-switching jump-diffusion models
• Option pricing when underlying stock returns are discontinuous
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Pricing by hedging and no-arbitrage beyond semimartingales
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Pricing currency options in the mixed fractional Brownian motion
• Quantile hedging
• Quantile hedging of equity-linked life insurance policies

Cited in

(2)

• Pricing geometric Asian extremum options under mixed fractional Brownian motion with jumps
• Pricing European option under the generalized fractional jump-diffusion model

This page was built for publication: Efficient hedging currency options in fractional Brownian motion model with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2164804)