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2017
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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.
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참고문헌 (5)
참고문헌 신청
B. Dupire / 1994 / Pricing with a smile / Risk Magazine 7 (1) : 18 ~ 20
E. Derman / 1998 / Stochastic implied trees: arbitrage pricing with stochastic term and strike structure of volatility / Int. J. Theoretical Appl. Finance 1 (1) : 61 ~ 110
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81 (3) : 637 ~ 654
Y.-K. Kwok / 2008 / Mathematical Models of Financial Derivatives / Springer
이영록 / 2015 / Local volatility for quanto option prices with stochastic interest rates / 한국수학논문집 23 (1) : 81 ~ 91
E. Derman / 1998 / Stochastic implied trees: arbitrage pricing with stochastic term and strike structure of volatility / Int. J. Theoretical Appl. Finance 1 (1) : 61 ~ 110
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81 (3) : 637 ~ 654
Y.-K. Kwok / 2008 / Mathematical Models of Financial Derivatives / Springer
이영록 / 2015 / Local volatility for quanto option prices with stochastic interest rates / 한국수학논문집 23 (1) : 81 ~ 91
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