基于分数布朗运动的货币期权估值。

The valuation of currency options by fractional Brownian motion.

作者信息

Shokrollahi Foad, Kılıçman Adem

机构信息

Department of Mathematics and Statistics, University of Vaasa, 65101 Vaasa, Finland.

Department of Mathematics, University Putra Malaysia (UPM), 43300 Serdang, Selangor Malaysia.

出版信息

Springerplus. 2016 Jul 21;5(1):1145. doi: 10.1186/s40064-016-2784-2. eCollection 2016.

DOI:10.1186/s40064-016-2784-2

PMID:27504243

原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC4954806/

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.

摘要

本研究旨在探讨一种货币期权定价模型，其价值由分数布朗运动模型（FBM）决定。还得到了分数偏微分方程和一些希腊字母值。此外，给出了我们定价公式的一些性质以及模拟研究，结果表明分数布朗运动模型易于使用。