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The pricing of power Quanto options under stochastic volatility

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In this paper, we use the stochastic volatility model intro- duced by Schobel and Zhu [7] to drive a closed-form expression for the price of a European power quanto call option.

Abstract

In this paper, we use the stochastic volatility model intro- duced by Schobel and Zhu [7] to drive a closed-form expression for the price of a European power quanto call option.

참고문헌 (9)

  1. G. Bakshi, "Spanning and derivative-security valuation", Journal of Financial Economics, 55(2), pp.205~238 (2000)
  2. F. Black, "The pricing of options and corporate liabilities", The Journal of Political Economy, 81(3), pp.637~654 (1973)
  3. S. L. Heston, "A closed-form solution for options with stochastic volatility with appli-cations to bond and currency options", The Review of Financial Studies, 6(2), pp.327~343 (1993)
  4. J. Hull, "The pricing of options on assets with stochastic volatilities", The Journal of Finance, 42(2), pp.281~300 (1987)
  5. S. N. I. Ibrahim, "Pricing power options under the Heston dynamics using the FFT", New Trends in Mathematical Sciences, 1(1), pp.1~9 (2013)
  6. J. Kim, "Valuation of power options under Heston's stochastic volatility model", Journal of Economic Dynamics and Control, 36(11), pp.1796~1813 (2012)
  7. R. Schobel, "Stochastic volatility with an Ornstein-Uhlenbeck process : an extension", European Finance Review, 3, pp.23~46 (1999)
  8. E. M. Stein, "Stock price distributions with stochastic volatility : an analytic approach", The Review of Financial Studies, 4(4), pp.727~752 (1991)
  9. R. G. Tompkins, "Power options : hedging nonlinear risks", Journal of Risk, 2(2), pp.29~45 (1999)

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