Pricing of quanto chained options

DOI10.4134/CKMS.2016.31.1.199MaRDI QIDQ2820737zbMATH OpenFDO

Authors Geonwoo Kim

Publication date 9 September 2016

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

zbMATH Keywords

reflection principlechained optionquanto optionclosed-form formulas

Mathematics Subject Classification ID

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

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Cited in

(1)

• Pricing chained options with curved barriers

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