Starts 4 Jun 2019 14:00
Ends 4 Jun 2019 15:00
Central European Time
ICTP
Leonardo Building - Luigi Stasi Seminar Room
14:00 - 14:30 - Kyong Hui Kim (Kim Il Sung University)
Option pricing in a generalized jump mixed fractional Brownian motion

Abstract: I will present a new framework for pricing the European currency option in the case where the spot exchange rate follows a generalized mixed fractional Brownian motion with jumps (hereafter GJMFBM). To capture the behaviors of exchange rate, the combination of Poisson jumps and generalized mixed fractional Brownian motion is introduced. To derive the pricing formula for some options, we firstly derive a generalized mixed fractional Girsanov theorem and some results regarding the quasi-conditional expectation that we will need for the rest of the paper. Then analytic pricing formulas for European currency option and exchange option are obtained using the equivalent martingale measure. Finally, through some numerical experiments and discussion we show that the GJMFBM model is different with the other previous ones.

14:30 - 14:45 - Un Gyong Ri (Kim Il Sung University)
Presentation of Kim Il Sung University, Pyongyang, DPR Korea, and its educational programs in Mathematics