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PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL

  • Park, Jiho (Department of Mathematics Sogang University) ;
  • Lee, Youngrok (Department of Mathematics Sogang University) ;
  • Lee, Jaesung (Department of Mathematics Sogang University)
  • Received : 2012.07.19
  • Published : 2013.07.31

Abstract

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.

References

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