Bulletin of the
Korean Mathematical Society
BKMS

ISSN(Print) 1015-8634 ISSN(Online) 2234-3016

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Bull. Korean Math. Soc. 2019; 56(2): 351-364

Online first article November 21, 2018      Printed March 1, 2019

https://doi.org/10.4134/BKMS.b180245

Copyright © The Korean Mathematical Society.

Pricing symmetric type of power quanto options

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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