Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL

  • Received : 2014.04.14
  • Published : 2014.07.31
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Abstract

We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.

Keywords

References

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Cited by

  1. THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL vol.31, pp.2, 2016, https://doi.org/10.4134/CKMS.2016.31.2.415
  2. PRICING OF QUANTO CHAINED OPTIONS vol.31, pp.1, 2016, https://doi.org/10.4134/CKMS.2016.31.1.199