Authors : Zheng Xiaoyang and Wang Jingyu
Abstract: Assuming that the interest is given, the principle of fair insurance premium-actuarial approach is used to deal with pricing formula of option on foreign currency option under the assumption that foreign currency option price process in a fractional Brownian motion with jumps and the pricing formulas of European foreign currency option are obtained. It has certain reference significance to avoiding foreign exchange risk.
Zheng Xiaoyang and Wang Jingyu, 2012. Pricing European Currency Options in a Fractional Brownian Motion with Jumps. Journal of Economics Theory, 6: 128-131.