A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a fractional Brownian motion with jumps. An analytic formula for pricing European foreign currency options is proposed using the equivalent martingale measure and the estimation...

In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the...

Fractional Ornstein–Uhlenbeck process is an extended model of the traditional Ornstein–Uhlenbeck process that provides some useful models for many physical and financial phenomena demonstrating long-range dependencies. Obviously, if some phenomenon can be modeled by fractional...