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

Recommendations

• Pricing of quanto option under the Hull and White stochastic volatility model
• Pricing symmetric type of power quanto options
• Valuation on quanto chooser option in a stochastic volatility model with jump risks
• Pricing of Quanto power options and related exotic options
• Valuation on Quanto options in jump-diffusion model with stochastic volatility

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 (3)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Pricing of Quanto power options and related exotic options

This page was built for publication: The pricing of power quanto options under stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5865002)