{"paper":{"title":"Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Foad Shokrollahi","submitted_at":"2016-12-20T14:00:15Z","abstract_excerpt":"A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed by a mean self-financing delta-hedging argument in a discrete time setting. The minimal price of a currency option under transaction costs is obtained as time-step $\\Delta t=\\left(\\frac{t^{\\beta-1}}{\\Gamma(\\beta)}\\right)^{-1}\\left(\\frac{2}{\\pi}\\right)^{\\frac{1}{2H}}\\left(\\frac{\\alpha}{\\sigma}\\right)^{\\frac{1}{H}}$ , which can be used as the actual price of an"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1612.06665","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}