Pricing currency options in the mixed fractional Brownian motion
β Scribed by Sun, Lin
- Book ID
- 121217866
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 981 KB
- Volume
- 392
- Category
- Article
- ISSN
- 0378-4371
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π SIMILAR VOLUMES
Standard and fractional Brownian motions are known to be unsatisfactory models of asset prices. A new class of continuous-time stochastic processes, RFBM, is proposed to remedy some of the shortcomings of current models. RFBM lead to valuation formulas similar to Black}Scholes, but with volatility i
This paper deals with the problem of discrete-time option pricing by the mixed Brownianfractional Brownian model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. In particular, the minimal pricing