논문KCI 등재
The pricing of quanto options in the double square root stochastic volatility model
대한수학회 (The Korean Mathematical Society)|2014.07|대한수학회논문집 (Communications of the KMS)|제29권 제3호|pp. 489-496
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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)
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- J. Hull, "The pricing of options on assets with stochastic volatilities", J. Finance, 42(2,), pp.281~300 (1987)
- F. A. Longstaff, "A nonlinear general equilibrium model of the term structure of interest rates", J. Financ. Econ, 23, pp.195~224 (1989)
- 박지호, "Pricing of Quanto option under the Hull and White stochastic volatility model", 대한수학회논문집, 28(3), pp.615~633 (2013), 대한수학회
- R. Schobel, "Stochastic volatility with an Ornstein-Uhlenbeck process: an extension", Europ. Finance Rev, 3, pp.23~46 (1999)
- E. M. Stein, "Stock price distributions with stochastic volatility: an analytic approach", Rev. Financ. Stud, 4(4), pp.727~752 (1991)
- J. Zhu, "Modular Pricing of Options", pp.2000~ (2000), Springer
- J. Zhu, "Applications of Fourier Transform to Smile Modeling" (2010), Springer
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 power Quanto options under stochastic volatility이재성, Youngrok Lee장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2022 · 제25권 제1호Pricing symmetric type of power quanto options이영록, 이재성대한수학회 · 대한수학회보2019 · 제56권 제2호The pricing of quanto options under the Vasicek's short rate model이영록, 이재성대한수학회 · 대한수학회논문집2016 · 제31권 제2호Pricing of Quanto option under the Hull and White stochastic volatility model박지호, 이영록, 이재성대한수학회 · 대한수학회논문집2013 · 제28권 제3호Local volatility for quanto option prices with stochastic interest rates이영록, 이재성강원경기수학회 · 한국수학논문집2015 · 제23권 제1호
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