Browse > Article
http://dx.doi.org/10.4134/CKMS.2013.28.3.615

PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL  

Park, Jiho (Department of Mathematics Sogang University)
Lee, Youngrok (Department of Mathematics Sogang University)
Lee, Jaesung (Department of Mathematics Sogang University)
Publication Information
Communications of the Korean Mathematical Society / v.28, no.3, 2013 , pp. 615-633 More about this Journal
Abstract
We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.
Keywords
quanto option; stochastic volatility model; Hull and White model; correlation expansion method;
Citations & Related Records
연도 인용수 순위
  • Reference
1 E. Alos, A generalization of the Hull and White formula with application to option pricing approximation, Finance Stoch. 10 (2006), no. 3, 353-365.   DOI
2 F. Antonelli and S. Scarlatti, Pricing option under stochastic volatility. A power series approach, Finance Stoch. 13 (2009), no. 2, 269-303.   DOI
3 F. Antonelli, A. Ranponi, and S. Scarlatti, Exchange option pricing under stochastic volatility: a correlation expansion, Review of Derivatives Research 13 (2010), 45-73.   DOI
4 C. C. Ball and A. Roma, Stochastic volatility option pricing, The Journal of Financial and Quantitative Analysis 29 (1994), 581-607.
5 S. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6 (1993), 327-343.   DOI   ScienceOn
6 J. C. Hull and A. White, The pricing of options on assets with stochastic volatilities, J. Finance 2 (1987), 281-300.
7 E. Stein and J. Stein, Stock price distributions with stochastic volatility: an analytic approach, The Review of Financial Studies 4 (1991), 727-752.   DOI   ScienceOn