title: The valuation of currency options by fractional Brownian motion.
abstract: 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.
authors: Department of Mathematics and Statistics, University of Vaasa, 65101 Vaasa, Finland.
authors: Foad
authors: F
authors: Shokrollahi
authors: Department of Mathematics, University Putra Malaysia (UPM), 43300 Serdang, Selangor Malaysia.
authors: Adem
authors: A
authors: Kılıçman
keywords: Black–Scholes model; Currency option; Fractional Brownian motion; Option pricing