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

Table 2

Results by different pricing models.

𝑆	Low time to maturity, 𝑇=0.5, 𝑡=0
	𝑃G-K	𝑃𝑃−𝐹	𝑃𝑃−MF	𝑃^∗,a𝐽−MF	𝑃^∗,b𝐽−MF
80	0.0019	0.0001	0.0259	0.0348	0.0399
85	0.0275	0.0058	0.1469	0.1865	0.2094
90	0.2068	0.0854	0.5664	0.6857	0.7550
95	0.9124	0.5814	1.6014	1.8636	2.0158
98	1.8093	1.3654	2.6454	3.0172	3.2325
100	2.6590	2.1788	3.5415	3.9912	4.2510
102	3.7188	3.2429	4.5993	5.1273	5.4313
110	9.7210	9.5097	10.2519	11.0509	11.5015
120	19.1629	19.1441	19.2787	20.2763	20.8171
130	28.9816	28.9811	28.9944	30.1055	30.6812
140	38.8223	38.8223	38.8232	40.0284	40.6266

∗The maximum number of iteration is 100.
aThe parameters for calculations are in the third line of Table 1.
bThe parameters for calculations are in the forth line of Table 1.