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Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment

Author

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  • Foad Shokrollahi
  • Adem Kılıçman

Abstract

A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a mixed fractional Brownian motion with jumps. The jump mixed fractional partial differential equation is obtained. Some Greeks and properties volatility are discussed. Finally the numerical simulations illustrate that our model is flexible and easy to implement.

Suggested Citation

  • Foad Shokrollahi & Adem Kılıçman, 2014. "Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-13, April.
    • Handle: RePEc:hin:jnlmpe:858210
    DOI: 10.1155/2014/858210
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    Cited by:

    1. Ahmadian, D. & Ballestra, L.V. & Shokrollahi, F., 2022. "A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    2. Panhong Cheng & Zhihong Xu & Zexing Dai, 2023. "Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment," Mathematics and Financial Economics, Springer, volume 17, number 3, June.

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