Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment
Table 3
Results by different pricing models.
Low time to maturity, ,
80
0.2589
0.5780
1.4574
1.9778
2.3126
85
0.6657
1.2020
2.4403
3.2183
3.7063
90
1.4466
2.2186
3.7983
4.8833
5.5476
95
2.7384
3.7120
5.5627
6.9919
7.8466
98
3.7991
4.8557
6.8209
8.4684
9.4401
100
4.6315
5.7272
7.7420
9.5380
10.5878
102
5.5643
6.6810
8.7277
10.6735
11.8008
110
10.2397
11.2873
13.2787
15.8219
17.2446
120
17.7735
18.5190
20.1458
23.3889
25.1289
130
26.4100
26.8349
27.9874
31.8470
33.8372
140
35.5361
35.7410
36.4750
40.8680
43.9468
The maximum number of iteration is 100. The parameters for calculations are in the third line of Table 1. The parameters for calculations are in the forth line of Table 1.
