Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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PRICING SYMMETRIC TYPE OF POWER QUANTO OPTIONS

  • Received : 2018.03.19
  • Accepted : 2018.10.11
  • Published : 2019.03.31
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Abstract

We derive full closed-form expressions for the prices of European symmetric power quanto call options with four different forms of terminal payoffs under the assumption of the classical lognormal asset price and exchange rate model.

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References

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