The pricing of power quanto options under stochastic volatility

DOI10.17777/PJMS2022.25.1.75zbMATH Open1497.91309MaRDI QIDQ5865002FDOQ5865002

Authors: Youngrok Lee, Jaesung Lee 

Publication date: 10 June 2022

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• Pricing of quanto option under the Hull and White stochastic volatility model
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zbMATH Keywords

power optionclosed-form expressionquanto optionquanto measureSchöbel-Zhu stochastic volatility model

Mathematics Subject Classification ID

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

Cited In (12)

• Title not available (Why is that?)
• Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
• Title not available (Why is that?)
• Valuation of power options under Heston's stochastic volatility model
• Pricing symmetric type of power quanto options
• Local volatility for quanto option prices with stochastic interest rates
• Valuation on quanto chooser option in a stochastic volatility model with jump risks
• Pricing Quanto Options in Renewable Energy Markets
• Pricing powered \(\alpha \)-power Quanto options with and without Poisson jumps
• Local volatilities for quanto option prices with various types of payoffs
• Pricing of Quanto power options and related exotic options
• Valuation on Quanto options in jump-diffusion model with stochastic volatility

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