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Local volatility for quanto option prices with stochastic interest rates
- 이영록;
- 이재성
초록
This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman \& Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.
키워드
local volatility; quanto option; Dupire equation; Fokker-Planck equation; stochastic interest rate
- 제목
- Local volatility for quanto option prices with stochastic interest rates
- 저자
- 이영록; 이재성
- 발행일
- 2015-03
- 저널명
- 한국수학논문집
- 권
- 23
- 호
- 1
- 페이지
- 81 ~ 91