Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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LOCAL VOLATILITIES FOR QUANTO OPTION PRICES WITH VARIOUS TYPES OF PAYOFFS

  • Received : 2016.05.12
  • Published : 2017.04.30
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Abstract

This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.

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References

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