Pricing symmetric type of power quanto options
Bull. Korean Math. Soc. 2019 Vol. 56, No. 2, 351-364
Published online March 1, 2019
Jaesung Lee, Youngrok Lee
Sogang University; Sogang University
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
MSC numbers : Primary 91B25, 91G60, 65C20
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