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  • 标题:Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
  • 本地全文:下载
  • 作者:Foad Shokrollahi ; Adem Kılıçman
  • 期刊名称:Advances in Difference Equations
  • 印刷版ISSN:1687-1839
  • 电子版ISSN:1687-1847
  • 出版年度:2015
  • 卷号:2015
  • 期号:1
  • 页码:257
  • DOI:10.1186/s13662-015-0590-8
  • 语种:English
  • 出版社:Hindawi Publishing Corporation
  • 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.
  • 关键词:currency option ; actuarial approach ; mixed fractional Brownian motion ; jump process
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