Local volatilities for quanto option prices with various types of payoffs

DOI10.4134/CKMS.C160114MaRDI QIDQ5360726zbMATH OpenOpenAlexFDO

Authors Youngrok Lee

Publication date 26 September 2017

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

Full work available at URL https://doi.org/10.4134/ckms.c160114

zbMATH Keywords

exchange optionexchange ratelocal volatilitypayoffquanto option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(4)

• Pricing and hedging of cliquet options and locally capped contracts
• Expansion formulas for European quanto options in a local volatility FX-LIBOR model
• Local volatility for quanto option prices with stochastic interest rates
• Solvable local and stochastic volatility models: supersymmetric methods in option pricing

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