대한수학회논문집 (Communications of the Korean Mathematical Society)

  • 제28권3호
  • /
  • Pages.615-633
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  • 2013
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  • 1225-1763(pISSN)
  • /
  • 2234-3024(eISSN)
대한수학회 (Korean Mathematical Society)
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PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL

  • Park, Jiho (Department of Mathematics Sogang University) ;
  • Lee, Youngrok (Department of Mathematics Sogang University) ;
  • Lee, Jaesung (Department of Mathematics Sogang University)
  • 투고 : 2012.07.19
  • 발행 : 2013.07.31
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초록

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.

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참고문헌

  1. E. Alos, A generalization of the Hull and White formula with application to option pricing approximation, Finance Stoch. 10 (2006), no. 3, 353-365. https://doi.org/10.1007/s00780-006-0013-5
  2. F. Antonelli and S. Scarlatti, Pricing option under stochastic volatility. A power series approach, Finance Stoch. 13 (2009), no. 2, 269-303. https://doi.org/10.1007/s00780-008-0086-4
  3. F. Antonelli, A. Ranponi, and S. Scarlatti, Exchange option pricing under stochastic volatility: a correlation expansion, Review of Derivatives Research 13 (2010), 45-73. https://doi.org/10.1007/s11147-009-9043-4
  4. C. C. Ball and A. Roma, Stochastic volatility option pricing, The Journal of Financial and Quantitative Analysis 29 (1994), 581-607.
  5. S. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6 (1993), 327-343. https://doi.org/10.1093/rfs/6.2.327
  6. J. C. Hull and A. White, The pricing of options on assets with stochastic volatilities, J. Finance 2 (1987), 281-300.
  7. E. Stein and J. Stein, Stock price distributions with stochastic volatility: an analytic approach, The Review of Financial Studies 4 (1991), 727-752. https://doi.org/10.1093/rfs/4.4.727

피인용 문헌

  1. Quanto option pricing in the presence of fat tails and asymmetric dependence vol.187, pp.2, 2015, https://doi.org/10.1016/j.jeconom.2015.02.035
  2. PRICING OF QUANTO CHAINED OPTIONS vol.31, pp.1, 2016, https://doi.org/10.4134/CKMS.2016.31.1.199
  3. ANALYTIC PRICING OF CoCo BONDS vol.20, pp.05, 2017, https://doi.org/10.1142/S0219024917500340
  4. THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL vol.29, pp.3, 2014, https://doi.org/10.4134/CKMS.2014.29.3.489
  5. Quanto European Option Pricing With Ambiguous Return Rates and Volatilities vol.25, pp.2, 2017, https://doi.org/10.1109/TFUZZ.2016.2598358
  6. Quanto Option Pricing with Lévy Models pp.1572-9974, 2018, https://doi.org/10.1007/s10614-018-9807-8