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PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL
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 Title & Authors
PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL
Park, Jiho; Lee, Youngrok; Lee, Jaesung;
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 Abstract
We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.
 Keywords
quanto option;stochastic volatility model;Hull and White model;correlation expansion method;
 Language
English
 Cited by
1.
THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL,;;

대한수학회논문집, 2014. vol.29. 3, pp.489-496 crossref(new window)
1.
THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL, Communications of the Korean Mathematical Society, 2014, 29, 3, 489  crossref(new windwow)
2.
PRICING OF QUANTO CHAINED OPTIONS, Communications of the Korean Mathematical Society, 2016, 31, 1, 199  crossref(new windwow)
3.
Quanto option pricing in the presence of fat tails and asymmetric dependence, Journal of Econometrics, 2015, 187, 2, 512  crossref(new windwow)
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