The pricing of quanto options under the Vasicek's short rate model

DOI10.4134/CKMS.2016.31.2.415zbMATH Open1339.91119MaRDI QIDQ2808607FDOQ2808607

Authors: Jaesung Lee, Youngrok Lee 

Publication date: 24 May 2016

Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

stochastic interest rateclosed-form expressionquanto optionVasicek's model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (3)

• Title not available (Why is that?)
• Estimating the Short Rate from the Term Structures in the Vasicek Model
• Option pricing under the Merton model of the short rate

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