지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.
목차
등록된 정보가 없습니다.
참고문헌 (6)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81(3):637~654
A. J. G. Cairns / 2004 / Interest Rate Models: an introduction / Princeton University Press
J. C. Cox / 1985 / A theory of the term structure of interest rates / Econometrica 53(2):385~407
A. Giese / 2012 / Quanto adjustments in the presence of stochastic volatility / Risk Magazine 25(5):67~71
이영록 / 2014 / The pricing of quanto options in the double square root stochastic volatility model / 대한수학회논문집 29(3):489~496
A. J. G. Cairns / 2004 / Interest Rate Models: an introduction / Princeton University Press
J. C. Cox / 1985 / A theory of the term structure of interest rates / Econometrica 53(2):385~407
A. Giese / 2012 / Quanto adjustments in the presence of stochastic volatility / Risk Magazine 25(5):67~71
이영록 / 2014 / The pricing of quanto options in the double square root stochastic volatility model / 대한수학회논문집 29(3):489~496
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Pricing symmetric type of power quanto options
대한수학회보
2019 .01
-
The pricing of power Quanto options under stochastic volatility
Proceedings of the Jangjeon Mathematical Society
2022 .01
-
Pricing of quanto chained options
대한수학회논문집
2016 .01
-
Local volatilities for quanto option prices with various types of payoffs
대한수학회논문집
2017 .01
-
Local volatility for quanto option prices with stochastic interest rates
한국수학논문집
2015 .01
-
Entropy-based goodness of fit test for a composite hypothesis
대한수학회보
2016 .01
-
Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
대한수학회논문집
2018 .01
-
PRICING OF TIMER-DIGITAL POWER OPTIONS
East Asian Mathematical Journal
2024 .01
-
Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model
East Asian Mathematical Journal
2021 .01
-
Pricing Vulnerable Power Option under a CEV Diffusion
East Asian Mathematical Journal
2021 .09
-
Pricing of Vulnerable Power Exchange Option under the Hybrid Model
East Asian Mathematical Journal
2021 .09
-
PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2016 .06
-
Option pricing and profitability: A comprehensive examination of machine learning, Black-Scholes, and Monte Carlo method
CSAM(Communications for Statistical Applications and Methods)
2024 .09
-
Chooser options on various underlying options
대한수학회논문집
2024 .04
-
A Probabilistic Approach for Valuing Exchange Option with Default Risk
East Asian Mathematical Journal
2020 .01
-
COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL
충청수학회지
2016 .01
-
Option pricing under general geometric Riemannian Brownian motions
대한수학회보
2016 .01
-
THE VALUATION OF TIMER POWER OPTIONS WITH STOCHASTIC VOLATILITY
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2022 .12
-
Digital Option Pricing based on Copulas with Stochastic Simulation
순수 및 응용수학
2015 .01
-
An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms
East Asian Mathematical Journal
2018 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0