Local volatility for quanto option prices with stochastic interest rates

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 volatilityquanto optionDupire equationFokker-Planck equationstochastic interest rate
제목
Local volatility for quanto option prices with stochastic interest rates
저자
이영록이재성
DOI
10.11568/kjm.2015.23.1.81
발행일
2015-03
저널명
한국수학논문집
23
1
페이지
81 ~ 91