Foad Shokrollahi
University of Vaasa
31 Papers
34 Citations
Foad Shokrollahi is an academic researcher from University of Vaasa. The author has contributed to research in topics: Fractional Brownian motion & Valuation of options. The author has an hindex of 7, co-authored 26 publications. Previous affiliations of Foad Shokrollahi include Universiti Putra Malaysia.
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Papers
Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment
Foad Shokrollahi,Adem Kilicman +1 more
TL;DR: In this paper, a new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a mixed fractional Brownian motion with jumps, and the jump mixed-fractional partial differential equation is obtained.
54
Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
Foad Shokrollahi,Adem Kilicman +1 more
TL;DR: In this article, the fair insurance premium actuarial approach for pricing currency option, when the value of foreign currency option follows the mixed fractional Brownian motion with jumps and the European call and put currency option are presented.
Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Foad Shokrollahi,Adem Kilicman,Marcin Magdziarz +2 more
- 31 May 2016
TL;DR: In this article, the authors investigated a new formula for option pricing with transaction costs in a discrete time setting The value of the financial assets is based on time-changed mixed fractional Brownian motion (MFBM) model.
32
Hedging in fractional Black-Scholes model with transaction costs
Foad Shokrollahi,Tommi Sottinen +1 more
TL;DR: In this article, the authors consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs and develop an explicit formula for the conditional mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.
13
The valuation of currency options by fractional Brownian motion.
Foad Shokrollahi,Adem Kilicman +1 more
TL;DR: This research aims to investigate a model for pricing of currency options in which value is governed by the fractional Brownian motion model (FBM), and some Greeks are obtained.