Pricing currency options in the mixed fractional Brownian motion

Sun L.

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Pricing currency options in the mixed fractional Brownian motion

机译：混合分数布朗运动中的货币期权定价

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摘要

This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.

机译：本文讨论在混合分数布朗环境中对欧洲货币期权定价的问题。获得了欧洲看涨货币期权的定价公式和混合分数偏微分方程。还提供了一些希腊人和波动率的估计值。实证研究和仿真结果证实了理论发现，并表明混合分数布朗定价模型是合理的。

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《Physica, A. Statistical mechanics and its applications》 |2013年第16期|共18页
作者
Sun L.;
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原文格式 PDF
正文语种 eng
中图分类物理学;
关键词
Currency option; Mixed fractional Brownian motion; Option pricing; Quasi-conditional expectation;

机译：货币期权;混合分数布朗运动;期权定价;准条件预期;

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1. Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients [J] . Kim Kyong-Hui, Yun Sim, Kim Nam-Ung, Physica, A. Statistical mechanics and its applications . 2019,第期

机译：欧洲货币选项的定价公式和通用跳跃混合分数布朗运动中的交换选项与时变系数
2. Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment [J] . FoadShokrollahi, AdemK?l??man Mathematical Problems in Engineering: Theory, Methods and Applications . 2014,第7期

机译：带跳跃环境的混合分数布朗运动中的货币期权定价
3. Pricing currency options in the mixed fractional Brownian motion [J] . Sun L. Physica, A. Statistical mechanics and its applications . 2013,第16期

机译：混合分数布朗运动中的货币期权定价
4. Option pricing for the mixed fractional Brownian motion with stochastic interest rates [C] . Feng Xu International Conference on Management Innovation and Information Technology . 2014

机译：随机利率混合分数布朗运动的选项定价
5. Estimation of the Hurst Exponent in Fractional Brownian Motion Driven Volatility Using High Frequency Data and Option Prices [D] . Nirhale, Nikhil. 2018

机译：利用高频数据和选项价格估算分数褐色运动驱动波动率的赫斯特指数
6. The valuation of currency options by fractional Brownian motion [O] . Foad Shokrollahi, Adem Kılıçman -1

机译：分数布朗运动对货币期权的估值
7. Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option [O] . 2015

机译：具有跳跃环境的混合分数布朗运动的精算方法对货币期权定价。

Pricing currency options in the mixed fractional Brownian motion

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