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The pricing of quanto options in the double square root stochastic volatility model
- Lee, Youngrok;
- Lee, Jaesung
Citations
SCOPUS
4초록
We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model. © 2014 Korean Mathematical Society.
키워드
quanto option; quanto measure; stochastic volatility; double square root model; closed-form expression
- 제목
- The pricing of quanto options in the double square root stochastic volatility model
- 저자
- Lee, Youngrok; Lee, Jaesung
- 발행일
- 2014
- 유형
- Article
- 저널명
- 대한수학회논문집
- 권
- 29
- 호
- 3
- 페이지
- 489 ~ 496