- Volume 29 Issue 3
DOI QR Code
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
We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.
quanto option;quanto measure;stochastic volatility;double square root model;closed-form expression
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