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The pricing of Quanto options under the double square root short rate model
- Lee, Youngrok;
- Lee, Jae sung
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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 double square root short rate model. 2010 Mathematics Subject Classification. 91B25, 91G60, 65C20.
키워드
quanto option; quanto measure; stochastic interest rate; double square root model; closed-form expression
- 제목
- The pricing of Quanto options under the double square root short rate model
- 저자
- Lee, Youngrok; Lee, Jae sung
- 발행일
- 2017
- 유형
- Article
- 권
- 20
- 호
- 1
- 페이지
- 11 ~ 18