The pricing of quanto options in the double square root stochastic volatility model. (English) Zbl 1294.91175
Summary: We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.
MSC:
91G20 | Derivative securities (option pricing, hedging, etc.) |
91G60 | Numerical methods (including Monte Carlo methods) |