• Communications of the Korean Mathematical Society
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• v.31 no.1
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• pp.199-207
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• 2016

A chained option is a barrier option activated in the event that the underlying asset price crosses barrier or barriers prior to maturity in a specified order. In this paper, we study the pricing of chained options with the quanto property called the "Quanto chained option". A quanto chained option is a chained option starting at time when the foreign exchange rate has the multiple crossing of specified barriers. We provide closed-form formulas for valuing the quanto chained options based on probabilistic approach.

• Communications of the Korean Mathematical Society
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• v.32 no.2
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• pp.467-477
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• 2017

This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.

• Communications of the Korean Mathematical Society
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• v.29 no.3
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• pp.489-496
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• 2014

We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.

• Bulletin of the Korean Mathematical Society
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• v.56 no.2
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• pp.351-364
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• 2019

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.

• Communications of the Korean Mathematical Society
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• v.31 no.2
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• pp.415-422
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• 2016

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.

• Korean Journal of Mathematics
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• v.23 no.1
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• pp.81-91
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• 2015

This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman & Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.

• Communications of the Korean Mathematical Society
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• v.28 no.3
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• pp.615-633
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• 2013

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.