논문KCI 등재
The pricing of quanto options under the Vasicek's short rate model
대한수학회 (The Korean Mathematical Society)|2016.04|대한수학회논문집 (Communications of the KMS)|제31권 제2호|pp. 415-422
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We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.
Abstract
We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.
참고문헌 (6)
- F. Black, "The pricing of options and corporate liabilities", The Journal of Political Economy, 81(3), pp.637~654 (1973)
- A. J. G. Cairns, "Interest Rate Models: an introduction" (2004), Princeton University Press
- J. C. Cox, "A theory of the term structure of interest rates", Econometrica, 53(2), pp.385~407 (1985)
- A. Giese, "Quanto adjustments in the presence of stochastic volatility", Risk Magazine, 25(5), 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
- O. Vasicek, "An equilibrium characterization of the term structure", J. Financial Economics, 5, pp.177~188 (1977)
관련 논문AI추천
THE 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 in the double square root stochastic volatility model이영록, 이재성대한수학회 · 대한수학회논문집2014 · 제29권 제3호Pricing 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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