Efficient hedging currency options in fractional Brownian motion model with jumps

2020 ◽  
Vol 539 ◽  
pp. 122868 ◽  
Author(s):  
Kyong-Hui Kim ◽  
Nam-Ung Kim ◽  
Dong-Chol Ju ◽  
Ju-Hyang Ri
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Motion Model ◽  
Currency Options ◽  
Efficient Hedging ◽  
Brownian Motion Model

scholarly journals Stochastic Fractal Dimension Image

2009 ◽  
Author(s):  
Nicholas J. Tustison ◽  
James Gee
Keyword(s):  
Brownian Motion ◽  
Fractal Dimension ◽  
Fractional Brownian Motion ◽  
Fractal Analysis ◽  
Medical Image ◽  
Fractal Theory ◽  
Motion Model ◽  
Edge Enhancement ◽  
Brownian Motion Model ◽  
Medical Image Classification

Fractal analysis for medical image classification and analysis was introduced in cite{Chen1989}. According to the authors, when viewed as an intensity surface, Mandelbrot's fractal theory provides an informative framework for characterizing such a surface. Using the fractional Brownian motion model, the authors provide an algorithm for converting a scalar image to a fractal dimension image for classification purposes or edge enhancement. This submission constitutes a report on the ITK implementation of this algorithm.

OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

2015 ◽  
Vol 29 (4) ◽  
pp. 589-596 ◽  
Author(s):  
B.L.S. Prakasa Rao
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Stock Price ◽  
Option Price ◽  
Motion Model ◽  
Price Process ◽  
European Call Option ◽  
Mixed Fractional Brownian Motion ◽  
Special Cases ◽  
Brownian Motion Model

We propose a geometric mixed fractional Brownian motion model for the stock price process with possible jumps superimposed by an independent Poisson process. Option price of the European call option is computed for such a model. Some special cases are studied in detail.

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