Local volatility for quanto option prices with stochastic interest rates

DOI10.11568/KJM.2015.23.1.81zbMATH Open1433.91178OpenAlexW2004814102MaRDI QIDQ5217005FDOQ5217005

Youngrok Lee, Jaesung Lee

Publication date: 21 February 2020

Published in: Korean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11568/kjm.2015.23.1.81

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zbMATH Keywords

Fokker-Planck equationlocal volatilitystochastic interest ratequanto optionDupire equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Fokker-Planck equations (35Q84) Generalized stochastic processes (60G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The pricing of options and corporate liabilities
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility

Cited In (3)

• Solvable local and stochastic volatility models: supersymmetric methods in option pricing
• Title not available (Why is that?)
• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility

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