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...

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Detalles Bibliográficos
Autores principales: Shokrollahi, Foad, Kılıçman, Adem
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Research
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
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author Shokrollahi, Foad
Kılıçman, Adem
author_facet Shokrollahi, Foad
Kılıçman, Adem
author_sort Shokrollahi, Foad
collection PubMed
description 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 are presented, which demonstrate that the FBM model is easy to use.
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spelling pubmed-49548062016-08-08 The valuation of currency options by fractional Brownian motion Shokrollahi, Foad Kılıçman, Adem Springerplus Research 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 are presented, which demonstrate that the FBM model is easy to use. Springer International Publishing 2016-07-21 /pmc/articles/PMC4954806/ /pubmed/27504243 http://dx.doi.org/10.1186/s40064-016-2784-2 Text en © The Author(s) 2016 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Shokrollahi, Foad
Kılıçman, Adem
The valuation of currency options by fractional Brownian motion
title The valuation of currency options by fractional Brownian motion
title_full The valuation of currency options by fractional Brownian motion
title_fullStr The valuation of currency options by fractional Brownian motion
title_full_unstemmed The valuation of currency options by fractional Brownian motion
title_short The valuation of currency options by fractional Brownian motion
title_sort valuation of currency options by fractional brownian motion
topic Research
url 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
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