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Pricing symmetric type of power quanto options
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초록
We derive full closed-form expressions for the prices of European symmetric power quanto call options with four different forms of terminal payoffs under the assumption of the classical lognormal asset price and exchange rate model.
Abstract
We derive full closed-form expressions for the prices of European symmetric power quanto call options with four different forms of terminal payoffs under the assumption of the classical lognormal asset price and exchange rate model.
참고문헌 (10)
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- L. P. Blenman, "Power exchange options", Finance Research Letters, 2(2), pp.97~106 (2005)
- R. C. Heynen, "Pricing and hedging power options", Financial Engineering and the Japanese Markets, 3(3), pp.253~261 (1996)
- Y.-K. Kwok, "Mathematical Models of Financial Derivatives" (2008), Springer Finance, Springer
- 이영록, "Local volatility for quanto option prices with stochastic interest rates", 한국수학논문집, 23(1), pp.81~91 (2015), 강원경기수학회[DOI]
- Y. Lee, "Pricing formula for power quanto options with each type of payos at maturity", Global J. Pure and Appl. Math, 13, pp.6695~6702 (2017)
- W. Margrabe, "The value of an option to exchange one asset for another", J. Finance, 33(1), pp.177~186 (1978)
- R. G. Tompkins, "Power options: hedging nonlinear risks", J. Risk, 2(2), pp.29~45 (1999)
- U. Wystup, "FX Options and Structured Products, The Wiley Finance Series" (2007)
- U. Wystup, "Quanto options", pp.1~12 (2008), MathFinance AG
관련 논문AI추천
The pricing of quanto options in the double square root stochastic volatility model이영록, 이재성대한수학회 · 대한수학회논문집2014 · 제29권 제3호The 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 UNDER THE DOUBLE SQUARE ROOT SHORT RATE MODEL이영록, 이재성장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2017 · 제20권 제1호Pricing of quanto chained optionsGeonwoo Kim대한수학회 · 대한수학회논문집2016 · 제31권 제1호The pricing of quanto options under the Vasicek's short rate model이영록, 이재성대한수학회 · 대한수학회논문집2016 · 제31권 제2호Local volatilities for quanto option prices with various types of payoffs이영록대한수학회 · 대한수학회논문집2017 · 제32권 제2호
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