PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL

DOI10.4134/CKMS.2013.28.3.615zbMath1274.91436MaRDI QIDQ2851116

Jaesung Lee, Youngrok Lee, Jiho Park

Publication date: 9 October 2013

Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility modelHull-White modelquanto optioncorrelation expansion method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20)

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