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
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalizat...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
AbstractA model for option pricing of a (γ,2H)-fractional Black–Merton–Scholes equation driven by th...
This research aims to investigate a model for pricing of currency options in which value governed by...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
In this study, we consider some pricing currency options models, which are using the Brownian motion...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
A new framework for pricing the European currency option is developed in the case where the spot exc...
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility ...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Abstract: The aim of this paper is to obtain the valuation formulas for European and barrier options...
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalizat...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
AbstractA model for option pricing of a (γ,2H)-fractional Black–Merton–Scholes equation driven by th...
This research aims to investigate a model for pricing of currency options in which value governed by...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
In this study, we consider some pricing currency options models, which are using the Brownian motion...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
A new framework for pricing the European currency option is developed in the case where the spot exc...
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility ...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Abstract: The aim of this paper is to obtain the valuation formulas for European and barrier options...
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalizat...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
AbstractA model for option pricing of a (γ,2H)-fractional Black–Merton–Scholes equation driven by th...