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The valuation of currency options by fractional Brownian motion
This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4954806/ https://www.ncbi.nlm.nih.gov/pubmed/27504243 http://dx.doi.org/10.1186/s40064-016-2784-2 |