Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option

被引：0
|
作者：
Foad Shokrollahi
Adem Kılıçman
机构：
[1] University Putra Malaysia (UPM),Department of Mathematics
来源：
Advances in Difference Equations | / 2015卷
关键词：
currency option; actuarial approach; mixed fractional Brownian motion; jump process;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This research aims to investigate the strategy of fair insurance premium actuarial approach for pricing currency option, when the value of foreign currency option follows the mixed fractional Brownian motion with jumps and the European call and put currency option are presented. It has certain reference significance to avoiding foreign exchange risk.
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