The valuation of currency options by fractional Brownian motion

Shokrollahi F 1 , Kılıçman A 2

Affiliations 

  • 1 Department of Mathematics and Statistics, University of Vaasa, 65101 Vaasa, Finland
  • 2 Department of Mathematics, University Putra Malaysia (UPM), 43300 Serdang, Selangor Malaysia
Springerplus, 2016;5(1):1145.
PMID: 27504243 DOI: 10.1186/s40064-016-2784-2

Abstract

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.

* Title and MeSH Headings from MEDLINE®/PubMed®, a database of the U.S. National Library of Medicine.

Similar publications