Pricing symmetric type of power quanto options
Bull. Korean Math. Soc.
Published online 2018 Nov 21
Jaesung Lee, and Youngrok Lee
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 : 91B25, 91G60, 65C20
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