Table 1 Results by different pricing models
From: The valuation of currency options by fractional Brownian motion
Exchange rate | \(P_{BS}\) | \(P_{FBM}\) | \(P_{Actual}\) |
|---|---|---|---|
1.351 | 0.0377 | 0.0358 | 0.0338 |
1.357 | 0.0408 | 0.0388 | 0.0362 |
1.362 | 0.0433 | 0.0414 | 0.0391 |
1.368 | 0.0464 | 0.0444 | 0.0423 |
1.373 | 0.0490 | 0.0470 | 0.0456 |
1.379 | 0.0521 | 0.0501 | 0.0484 |
1.383 | 0.0542 | 0.0522 | 0.0503 |
1.389 | 0.0573 | 0.0553 | 0.0537 |
1.392 | 0.0589 | 0.0569 | 0.0548 |
1.398 | 0.0620 | 0.0601 | 0.0589 |