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Local volatility for quanto option prices with stochastic interest rates
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This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman \& Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.
Abstract
This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman \& Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.
참고문헌 (4)
- F. Black, "The Pricing of Options and Corporate Liabilities", The Journal of Political Economy, 81(3), pp.637~654 (1973)
- E. Derman, "Stochastic Implied Trees: Arbitrage Pricing with Stochas-tic Term and Strike Structure of Volatility", International Journal of Theoretical and Applied Finance, 1(1), pp.61~110 (1998)
- B. Dupire, "Pricing with a Smile", Risk Magazine, 7(1), pp.18~20 (1994)
- M. Overhaus, "Equity Hybrid Derivatives" (2007), John Wiley & Sons
관련 논문AI추천
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