Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs

Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs

A new framework for pricing European currency option is developed in the case where the spot exchange rate follows a subdiffusive fractional Black–Scholes. An analytic formula for pricing European currency call option is proposed by a mean self-financing delta-hedging argument in a discrete time set...

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Bibliographic Details
Main Author: Foad Shokrollahi
Format: Article
Language:English
Published: Taylor & Francis Group 2018-01-01
Series:Cogent Mathematics & Statistics
Subjects:
subdiffusion process
currency option
transaction costs
inverse subordinator process
Online Access:http://dx.doi.org/10.1080/25742558.2018.1470145

Internet

http://dx.doi.org/10.1080/25742558.2018.1470145

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