Proceedings of the 2015 Conference on Informatization in Education, Management and Business

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An actuarial approach to foreign currency option pricing

Authors
Zhang Min
Corresponding Author
Zhang Min
Available Online September 2015.
DOI
10.2991/iemb-15.2015.179How to use a DOI?
Keywords
fair premium option pricing foreign currency option fractional Brownian motion.
Abstract

Using physical probabilistic measure of price process and the principle of fair premium , we deal with pricing formula of option on Foreign currency option under the assumption that foreign option price process driven by fractional Brownian motion process ,we obtain the pricing formula of foreign option.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 Conference on Informatization in Education, Management and Business
Series
Advances in Social Science, Education and Humanities Research
Publication Date
September 2015
ISBN
978-94-6252-105-6
ISSN
2352-5398
DOI
10.2991/iemb-15.2015.179How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Zhang Min
PY  - 2015/09
DA  - 2015/09
TI  - An actuarial approach to foreign currency option pricing
BT  - Proceedings of the 2015 Conference on Informatization in Education, Management and Business
PB  - Atlantis Press
SP  - 870
EP  - 876
SN  - 2352-5398
UR  - https://doi.org/10.2991/iemb-15.2015.179
DO  - 10.2991/iemb-15.2015.179
ID  - Min2015/09
ER  -