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The pricing of quanto options in the double square root stochastic volatility model

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초록

We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.

Abstract

We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.

참고문헌 (10)

  1. F. Antonelli, "Exchange option pricing under stochastic volatility: a correlation expansion", Rev. Deriv. Res, 13(1), pp.45~73 (2010)
  2. A. Giese, "Quanto adjustments in the presence of stochastic volatility", Risk Magazine (2012)
  3. S. L. Heston, "A closed-form solution for options with stochastic volatility with applications to bond and currency options", Rev. Financ. Stud, 6(2), pp.327~343 (1993)
  4. J. Hull, "The pricing of options on assets with stochastic volatilities", J. Finance, 42(2,), pp.281~300 (1987)
  5. F. A. Longstaff, "A nonlinear general equilibrium model of the term structure of interest rates", J. Financ. Econ, 23, pp.195~224 (1989)
  6. 박지호, "Pricing of Quanto option under the Hull and White stochastic volatility model", 대한수학회논문집, 28(3), pp.615~633 (2013), 대한수학회
  7. R. Schobel, "Stochastic volatility with an Ornstein-Uhlenbeck process: an extension", Europ. Finance Rev, 3, pp.23~46 (1999)
  8. E. M. Stein, "Stock price distributions with stochastic volatility: an analytic approach", Rev. Financ. Stud, 4(4), pp.727~752 (1991)
  9. J. Zhu, "Modular Pricing of Options", pp.2000~ (2000), Springer
  10. J. Zhu, "Applications of Fourier Transform to Smile Modeling" (2010), Springer

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