논문KCI 등재
Local volatilities for quanto option prices with various types of payoffs
대한수학회 (The Korean Mathematical Society)|2017.04|대한수학회논문집 (Communications of the KMS)|제32권 제2호|pp. 467-477
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This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.
Abstract
This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.
참고문헌 (5)
- F. Black, "The pricing of options and corporate liabilities", J. Polit. Econ, 81(3), pp.637~654 (1973)
- E. Derman, "Stochastic implied trees: arbitrage pricing with stochastic term and strike structure of volatility", Int. J. Theoretical Appl. Finance, 1(1), pp.61~110 (1998)
- B. Dupire, "Pricing with a smile", Risk Magazine, 7(1), pp.18~20 (1994)
- Y.-K. Kwok, "Mathematical Models of Financial Derivatives" (2008), Springer
- 이영록, "Local volatility for quanto option prices with stochastic interest rates", 한국수학논문집, 23(1), pp.81~91 (2015), 강원경기수학회[DOI]
관련 논문AI추천
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