Pricing currency options in the mixed fractional Brownian motion
Year of publication: |
2013
|
---|---|
Authors: | Sun, Lin |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 16, p. 3441-3458
|
Publisher: |
Elsevier |
Subject: | Mixed fractional Brownian motion | Quasi-conditional expectation | Currency option | Option pricing |
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