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Lee, Youngrok; Lee, Jaesung

The pricing of quanto options in the double square root stochastic volatility model. (English) Zbl 1294.91175

Commun. Korean Math. Soc. 29, No. 3, 489-496 (2014).
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)

Keywords:

quanto option; quanto measure; stochastic volatility; double square root model; closed-form expression
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