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THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL

  • Lee, Youngrok (Department of Mathematics Sogang University) ;
  • Lee, Jaesung (Department of Mathematics Sogang University)
  • Received : 2014.04.14
  • Published : 2014.07.31

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

References

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Cited by

  1. THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL vol.31, pp.2, 2016, https://doi.org/10.4134/CKMS.2016.31.2.415
  2. PRICING OF QUANTO CHAINED OPTIONS vol.31, pp.1, 2016, https://doi.org/10.4134/CKMS.2016.31.1.199