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

Advances in Difference Equations

Adem Klman¹  Foad Shokrollahi¹ 

[1] Department of Mathematics, University Putra Malaysia (UPM), Selangor, Malaysia

关键词: currency option;    actuarial approach;    mixed fractional Brownian motion;    jump process;   

DOI  :  10.1186/s13662-015-0590-8

学科分类：数学（综合）

来源: SpringerOpen

【 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.

【 授权许可】

CC BY