THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL

DOI10.4134/CKMS.2014.29.3.489zbMath1294.91175MaRDI QIDQ3188821

Youngrok Lee, Jaesung Lee

Publication date: 2 September 2014

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

zbMATH Keywords

stochastic volatilityclosed-form expressionquanto optiondouble square root modelquanto measure

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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