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PRICING SYMMETRIC TYPE OF POWER QUANTO OPTIONS

Lee, Jaesung;Lee, Youngrok

  • Received : 2018.03.19
  • Accepted : 2018.10.11
  • Published : 2019.03.31

Abstract

We derive full closed-form expressions for the prices of European symmetric power quanto call options with four different forms of terminal payoffs under the assumption of the classical lognormal asset price and exchange rate model.

Keywords

power option;quanto option;quanto measure;symmetric type;closed-form expression

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