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THE PRICING OF QUANTO OPTIONS UNDER THE DOUBLE SQUARE ROOT SHORT RATE MODEL
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초록
We derive a closed-form expression for the price of a Euro- pean quanto call option when both foreign and domestic interest rates follow the double square root short rate model.
Abstract
We derive a closed-form expression for the price of a Euro- pean quanto call option when both foreign and domestic interest rates follow the double square root short rate model.
참고문헌 (7)
- F. Black, "The pricing of options and corporate liabilities", The Journal of Political Economy, 81, pp.637~654 (1973)
- A. Giese, "Quanto adjustments in the presence of stochastic volatility", Risk Magazine, 25, pp.67~71 (2012)
- 이영록, "The pricing of quanto options in the double square root stochastic volatility model", 대한수학회논문집, 29(3), pp.489~496 (2014), 대한수학회
- F. A. Longstaff, "A nonlinear general equilibrium model of the term structure of interest rates", Journal of Financial Economics, 23, pp.195~224 (1989)
- E. M. Stein, "Stock Price Distributions with Stochastic Volatility: An Analytic Approach", The Review of Financial Studies, 4, pp.727~752 (1991)
- J. Zhu, "Modular pricing of options: an application of Fourier analysis" (2000), Springer
- J. Zhu, "Applications of Fourier transform to smile modeling: theory and implementa-tion" (2010), Springer
관련 논문AI추천
The pricing of quanto options in the double square root stochastic volatility model이영록, 이재성대한수학회 · 대한수학회논문집2014 · 제29권 제3호The pricing of quanto options under the Vasicek's short rate model이영록, 이재성대한수학회 · 대한수학회논문집2016 · 제31권 제2호Pricing symmetric type of power quanto options이영록, 이재성대한수학회 · 대한수학회보2019 · 제56권 제2호The pricing of power Quanto options under stochastic volatility이재성, Youngrok Lee장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2022 · 제25권 제1호Local volatility for quanto option prices with stochastic interest rates이영록, 이재성강원경기수학회 · 한국수학논문집2015 · 제23권 제1호Local volatilities for quanto option prices with various types of payoffs이영록대한수학회 · 대한수학회논문집2017 · 제32권 제2호
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