Pricing of quanto chained options
Bull. Korean Math. Soc. 0000 Vol. 31, No. 1, 199-207
Geonwoo Kim
Seoul National University
Abstract : A chained option is a barrier option activated in the event that the underlying asset price crosses barrier or barriers prior to maturity in a specified order. In this paper, we study the pricing of chained options with the quanto property called the ``\emph{Quanto chained option}". A quanto chained option is a chained option starting at time when the foreign exchange rate has the multiple crossing of specified barriers. We provide closed-form formulas for valuing the quanto chained options based on probabilistic approach.
Keywords : quanto option, chained option, reflection principle, closed-form formulas
MSC numbers : Primary 91B25, 91G60
Downloads: Full-text PDF  


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