The pricing of power quanto options under stochastic volatility (Q5865002)
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scientific article; zbMATH DE number 7539991
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| English | The pricing of power quanto options under stochastic volatility |
scientific article; zbMATH DE number 7539991 |
Statements
10 June 2022
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closed-form expression
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power option
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quanto option
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quanto measure
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Schöbel-Zhu stochastic volatility model
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0.8592092990875244
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0.8267324566841125
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0.8047032952308655
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0.8030941486358643
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0.8021223545074463
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