  This study deals with the problem of pricing European currency options in
discrete time setting, whose prices follow the fractional Black Scholes model
with transaction costs. Both the pricing formula and the fractional partial
differential equation for European call currency options are obtained by
applying the delta-hedging strategy. Some Greeks and the estimator of
volatility are also provided. The empirical studies and the simulation findings
show that the fractional Black Scholes with transaction costs is a satisfactory
model.
