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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.
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참고문헌 (10)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81(3):637~654
L. P. Blenman / 2005 / Power exchange options / Finance Research Letters 2(2):97~106
R. C. Heynen / 1996 / Pricing and hedging power options / Financial Engineering and the Japanese Markets 3(3):253~261
Y.-K. Kwok / 2008 / Mathematical Models of Financial Derivatives / Springer Finance, Springer
이영록 / 2015 / Local volatility for quanto option prices with stochastic interest rates / 한국수학논문집 23(1):81~91
L. P. Blenman / 2005 / Power exchange options / Finance Research Letters 2(2):97~106
R. C. Heynen / 1996 / Pricing and hedging power options / Financial Engineering and the Japanese Markets 3(3):253~261
Y.-K. Kwok / 2008 / Mathematical Models of Financial Derivatives / Springer Finance, Springer
이영록 / 2015 / Local volatility for quanto option prices with stochastic interest rates / 한국수학논문집 23(1):81~91
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