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THE PRICING OF POWER QUANTO OPTIONS UNDER STOCHASTIC VOLATILITY
- Lee, Youngrok;
- Lee, Jae sung
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0초록
In this paper, we use the stochastic volatility model introduced by Schöbel and Zhu [7] to drive a closed-form expression for the price of a European power quanto call option. © 2022 Jangjeon Research Institute for Mathematical Sciences and Physics. All rights reserved.
키워드
closed-form expression; power option; quanto option; quanto measure; Schobel-Zhu stochastic volatility model
- 제목
- THE PRICING OF POWER QUANTO OPTIONS UNDER STOCHASTIC VOLATILITY
- 저자
- Lee, Youngrok; Lee, Jae sung
- 발행일
- 2022-01
- 유형
- Article
- 권
- 25
- 호
- 1
- 페이지
- 75 ~ 81