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PRICING SYMMETRIC TYPE OF POWER QUANTO OPTIONS
- Lee, Jaesung;
- Lee, Youngrok
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0초록
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.
키워드
power option; quanto option; quanto measure; symmetric type; closed-form expression
- 제목
- PRICING SYMMETRIC TYPE OF POWER QUANTO OPTIONS
- 저자
- Lee, Jaesung; Lee, Youngrok
- 발행일
- 2019-03
- 유형
- Article
- 저널명
- 대한수학회보
- 권
- 56
- 호
- 2
- 페이지
- 351 ~ 364