Zheng  Xiaoyang, Wang  Jingyu, 
    Pricing European Currency Options in a Fractional Brownian Motion with Jumps,
    Journal of Economics Theory,
    Volume 6,Issue 4,
    2012,
    Pages 128-131,
    ISSN 1994-8212,
    jeth.2012.128.131,
    (https://makhillpublications.co/view-article.php?doi=jeth.2012.128.131)
    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.
    Keywords: Actuarial approach;fractional Brownian motion;jump-diffusion process;foreign currency option;China