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THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL
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 Title & Authors
THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL
Lee, Jaesung; Lee, Youngrok;
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 Abstract
We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.
 Keywords
quanto option;stochastic interest rate;Vasicek's model;closed-form expression;
 Language
English
 Cited by
 References
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A. Giese, Quanto adjustments in the presence of stochastic volatility, Risk Magazine 25 (2012), no. 5, 67-71.

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Y. Lee and J. Lee, The pricing of quanto options in the double square root stochastic volatility model, Commun. Korean Math. Soc. 29 (2014), no. 3, 489-496. crossref(new window)

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O. Vasicek, An equilibrium characterization of the term structure, J. Financial Economics 5 (1977), 177-188. crossref(new window)