Pricing of quanto chained options

DOI10.4134/CKMS.2016.31.1.199zbMATH Open1414.91378MaRDI QIDQ2820737FDOQ2820737

Authors: Geonwoo Kim 

Publication date: 9 September 2016

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

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zbMATH Keywords

reflection principlechained optionquanto optionclosed-form formulas

Mathematics Subject Classification ID

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

Cited In (1)

• Pricing chained options with curved barriers

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