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THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL
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 Title & Authors
THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL
Lee, Youngrok; Lee, Jaesung;
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 Abstract
We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.
 Keywords
quanto option;quanto measure;stochastic volatility;double square root model;closed-form expression;
 Language
English
 Cited by
1.
THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL, Communications of the Korean Mathematical Society, 2016, 31, 2, 415  crossref(new windwow)
2.
PRICING OF QUANTO CHAINED OPTIONS, Communications of the Korean Mathematical Society, 2016, 31, 1, 199  crossref(new windwow)
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