Quanto option pricing with a jump diffusion process

DOI10.1080/03610918.2019.1679378MaRDI QIDQ5082959zbMATH OpenOpenAlexWikidataFDO

Authors Wenhan Li, Cuixiang Li, Guiwen Lv, Lixia Liu

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1679378

zbMATH Keywords

Esscher transformjump diffusion processnumerical analysisquanto option pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
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• Pricing currency options in the mixed fractional Brownian motion
• Pricing foreign equity option with stochastic volatility
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities
• The pricing of Quanto options under dynamic correlation
• Valuing variable annuity guarantees with the multivariate Esscher transform

Cited in

(3)

• Cliquet option pricing in a jump-diffusion Lévy model
• scientific article; zbMATH DE number 5284489 (Why is no real title available?)
• scientific article; zbMATH DE number 7028579 (Why is no real title available?)

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