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.
Jaesung Lee, Youngrok Lee
Sogang University; Sogang University
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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