대한수학회논문집 (Communications of the Korean Mathematical Society)

  • 제31권1호
  • /
  • Pages.199-207
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  • 2016
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  • 1225-1763(pISSN)
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  • 2234-3024(eISSN)
대한수학회 (Korean Mathematical Society)
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PRICING OF QUANTO CHAINED OPTIONS

  • Kim, Geonwoo (Department of Mathematical Sciences Seoul National University)
  • 투고 : 2015.04.08
  • 발행 : 2016.01.31
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초록

A chained option is a barrier option activated in the event that the underlying asset price crosses barrier or barriers prior to maturity in a specified order. In this paper, we study the pricing of chained options with the quanto property called the "Quanto chained option". A quanto chained option is a chained option starting at time when the foreign exchange rate has the multiple crossing of specified barriers. We provide closed-form formulas for valuing the quanto chained options based on probabilistic approach.

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참고문헌

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