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Pricing currency options in the mixed fractional Brownian motion

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  • Sun, Lin

Abstract

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.

Suggested Citation

  • Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:16:p:3441-3458
    DOI: 10.1016/j.physa.2013.03.055
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