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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)
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- 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)
- J. Hull, "The pricing of options on assets with stochastic volatilities", The Journal of Finance, 42(2), pp.281~300 (1987)
- 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)
- J. Kim, "Valuation of power options under Heston's stochastic volatility model", Journal of Economic Dynamics and Control, 36(11), pp.1796~1813 (2012)
- R. Schobel, "Stochastic volatility with an Ornstein-Uhlenbeck process : an extension", European Finance Review, 3, pp.23~46 (1999)
- E. M. Stein, "Stock price distributions with stochastic volatility : an analytic approach", The Review of Financial Studies, 4(4), pp.727~752 (1991)
- R. G. Tompkins, "Power options : hedging nonlinear risks", Journal of Risk, 2(2), pp.29~45 (1999)
관련 논문AI추천
The pricing of quanto options in the double square root stochastic volatility model이영록, 이재성대한수학회 · 대한수학회논문집2014 · 제29권 제3호Pricing symmetric type of power quanto options이영록, 이재성대한수학회 · 대한수학회보2019 · 제56권 제2호Pricing of Quanto option under the Hull and White stochastic volatility model박지호, 이영록, 이재성대한수학회 · 대한수학회논문집2013 · 제28권 제3호THE PRICING OF QUANTO OPTIONS UNDER THE DOUBLE SQUARE ROOT SHORT RATE MODEL이영록, 이재성장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2017 · 제20권 제1호The pricing of quanto options under the Vasicek's short rate model이영록, 이재성대한수학회 · 대한수학회논문집2016 · 제31권 제2호Local volatility for quanto option prices with stochastic interest rates이영록, 이재성강원경기수학회 · 한국수학논문집2015 · 제23권 제1호
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