Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment

Table 1

The valuation of chosen parameters used in these models.

Model type	𝑟𝑑	𝑟𝑓	𝜎	𝐾	𝐻	𝐽	𝜆	𝜇𝐽	𝛿
G-K	0.0210	0.0320	0.1050	100	—	—	—	—	—
PFBM	0.0210	0.0320	0.1050	100	0.76	—	—	—	—
PMFBM	0.0210	0.0320	0.1050	100	0.76	—	—	—	—
JMFBM	0.0210	0.0320	0.1050	100	0.76	0.008	2.3	0.00065	0.0015
JMFBM	0.0210	0.0320	0.1050	100	0.76	0.0031	7.3	−0.00065	0.0018