• Journal of applied mathematics & informatics
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• v.7 no.2
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• pp.597-603
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• 2000

In this paper, we deal with the European Asian Arithmetical option and find the unique rational price associated with option and Asian arithmetical call-put parity.

• Journal of applied mathematics & informatics
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• v.7 no.3
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• pp.1069-1075
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• 2000

In this paper, we deal with the European "Asian arithmetical option" and find the unique rational price associated with this option and Asian arithmetical call-put parity.

• Journal of applied mathematics & informatics
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• v.6 no.2
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• pp.569-574
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• 1999

In this paper we obtain relation between the heding prices in European and American option and apply to call option.

• Communications of the Korean Mathematical Society
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• v.32 no.2
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• pp.467-477
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• 2017

This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.

• Kyungpook Mathematical Journal
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• v.62 no.4
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• pp.615-640
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• 2022

In this paper, we investigate a time-dependent double obstacle problem associated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a W^2,1_p,loc solution to the problem. We then characterize the behavior of the free boundaries in terms of continuity and values of limit points.

• Communications of the Korean Mathematical Society
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• v.29 no.3
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• pp.489-496
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• 2014

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

• Communications of the Korean Mathematical Society
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• v.31 no.2
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• pp.415-422
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• 2016

We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.

• Bulletin of the Korean Mathematical Society
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• v.56 no.2
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• pp.351-364
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• 2019

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.

• Korean Journal of Mathematics
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• v.23 no.1
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• pp.81-91
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• 2015

This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman & Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.20 no.2
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• pp.163-174
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• 2016

In this paper, we propose an optimal choice scheme to determine the best option among comparable options whose current expectations are all the same under the condition that an investor has a confidence in the future value realization of underlying assets. For this purpose, we use a path-averaged option as our base instrument in which we calculate the time discounted value along the path and divide it by the number of time steps for a given expected path. First, we consider three European call options such as vanilla, cash-or-nothing, and asset-or-nothing as our comparable set of choice schemes. Next, we perform the experiments using historical data to prove the usefulness of our proposed scheme. The test suggests that the path-averaged option value is a good guideline to choose an optimal option.