Pricing symmetric type of power quanto options
Bull. Korean Math. Soc. 2019 Vol. 56, No. 2, 351-364
https://doi.org/10.4134/BKMS.b180245
Published online 2019 Mar 01
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
Full-Text :

   

Copyright © Korean Mathematical Society. All Rights Reserved.
The Korea Science Technology Center (Rm. 411), 22, Teheran-ro 7-gil, Gangnam-gu, Seoul 06130, Korea
Tel: 82-2-565-0361  | Fax: 82-2-565-0364  | E-mail: paper@kms.or.kr   | Powered by INFOrang.co., Ltd