CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS

DOI10.1142/S0219024900000127zbMath1152.91528OpenAlexW2105629398MaRDI QIDQ3523556

Yue Kuen Kwok, Hoi Ying Wong

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000127

zbMATH Keywords

quanto optionsquanto-prewashing, path dependent features, multi-asset option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Pricing foreign equity option with stochastic volatility ⋮ Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ Pricing and hedging foreign equity options under Hawkes jump-diffusion processes ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ A simple and fast method for valuing American knock-out options with rebates ⋮ A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework ⋮ An analytic valuation method for multivariate contingent claims with regime-switching volatilities ⋮ Geometric Asian options: valuation and calibration with stochastic volatility ⋮ Pricing currency option in a mixed fractional Brownian motion with jumps environment ⋮ Asian and Australian options: a common perspective

Cites Work

• Pricing Multi-Asset Options with an External Barrier
• ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE

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