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The pricing of quanto options under the Vasicek's short rate model
- Lee, Jaesung;
- Lee, Youngrok
Citations
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0초록
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. © 2016 Korean Mathematical Society.
키워드
quanto option; stochastic interest rate; Vasicek's model; closed-form expression
- 제목
- The pricing of quanto options under the Vasicek's short rate model
- 저자
- Lee, Jaesung; Lee, Youngrok
- 발행일
- 2016
- 유형
- Article
- 저널명
- 대한수학회논문집
- 권
- 31
- 호
- 2
- 페이지
- 415 ~ 422