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Pricing of Quanto option under the Hull and White stochastic volatility model

이재성|이영록|박지호
대한수학회 (The Korean Mathematical Society)|2013.07|대한수학회논문집 (Communications of the KMS)|제28권 제3호|pp. 615-633

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참고문헌

키워드

quanto optionstochastic volatility modelHull and White modelcorrelation expansion method
주제분류수학

초록

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.

Abstract

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.

참고문헌 (7)

  1. E. Al´os, "A generalization of the Hull and White formula with application to option pricing approximation", Finance Stoch, 10(3), pp.353~365 (2006)
  2. F. Antonelli, "Pricing option under stochastic volatility. A power series approach", Finance Stoch, 13(2), pp.269~303 (2009)
  3. F. Antonelli, "Exchange option pricing under stochastic volatility: a correlation expansion", Review of Derivatives Research, 13, pp.45~73 (2010)
  4. C. C. Ball, "Stochastic volatility option pricing", The Journal of Financial and Quantitative Analysis, 29, pp.581~607 (1994)
  5. S. Heston, "A closed-form solution for options with stochastic volatility with applications to bond and currency options", The Review of Financial Studies, 6, pp.327~343 (1993)
  6. J. C. Hull, "The pricing of options on assets with stochastic volatilities", J. Finance, 2, pp.281~300 (1987)
  7. E. Stein, "Stock price distributions with stochastic volatility: an analytic approach", The Review of Financial Studies, 4, pp.727~752 (1991)

관련 논문AI추천

The pricing of power Quanto options under stochastic volatility이재성, Youngrok Lee장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2022 · 제25권 제1호The 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 제2호THE PRICING OF QUANTO OPTIONS UNDER THE DOUBLE SQUARE ROOT SHORT RATE MODEL이영록, 이재성장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2017 · 제20권 제1호Pricing symmetric type of power quanto options이영록, 이재성대한수학회 · 대한수학회보2019 · 제56권 제2호Local volatility for quanto option prices with stochastic interest rates이영록, 이재성강원경기수학회 · 한국수학논문집2015 · 제23권 제1호

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