TY  - JOUR
T1  - Pricing European Currency Options in a Fractional Brownian Motion with Jumps
AU - Xiaoyang, Zheng AU - Jingyu, Wang 
JO  - Journal of Economics Theory
VL  - 6
IS  - 4
SP  - 128
EP  - 131
PY  - 2012
DA  - 2001/08/19
SN  - 1994-8212
DO  - jeth.2012.128.131
UR  - https://makhillpublications.co/view-article.php?doi=jeth.2012.128.131
KW  - Actuarial approach
KW  -fractional Brownian motion
KW  -jump-diffusion process
KW  -foreign currency option
KW  -China
AB  - 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.
ER  -