Asian quanto options pricing under stochastic interest rate

zbMATH Open1224.91172MaRDI QIDQ3071545FDOQ3071545

Authors: Pei Dong Guo, Qi Hong Chen, Jizhou Zhang 

Publication date: 5 February 2011

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zbMATH Keywords

option pricingstochastic interest rateVasicek modelAsian quanto option

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

Cited In (7)

• Prices of Asian options under stochastic interest rates
• An easy method to price quanto forward contracts in the HJM model with stochastic interest rates
• Local volatility for quanto option prices with stochastic interest rates
• Title not available (Why is that?)
• Title not available (Why is that?)
• Valuation of quotient options for the interest rate is a function of time
• Pricing of Asian exchange rate options under stochastic interest rates as a sum of options

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