LOCAL VOLATILITIES FOR QUANTO OPTION PRICES WITH VARIOUS TYPES OF PAYOFFS

DOI10.4134/CKMS.C160114zbMath1372.91110OpenAlexW2661930908MaRDI QIDQ5360726

Youngrok Lee

Publication date: 26 September 2017

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

Full work available at URL: https://doi.org/10.4134/ckms.c160114

zbMATH Keywords

payoffexchange ratelocal volatilityexchange optionquanto option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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