상세 보기
Pricing of quanto option under the hull and white stochastic volatility model
- Park, Jiho;
- Lee, Youngrok;
- Lee, Jaesung
Citations
SCOPUS
9초록
We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull andWhite stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method. © 2013 The Korean Mathematical Society.
키워드
quanto option; stochastic volatility model; Hull and White model; correlation expansion method
- 제목
- Pricing of quanto option under the hull and white stochastic volatility model
- 저자
- Park, Jiho; Lee, Youngrok; Lee, Jaesung
- 발행일
- 2013
- 유형
- Article
- 저널명
- 대한수학회논문집
- 권
- 28
- 호
- 3
- 페이지
- 615 ~ 633