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http://dx.doi.org/10.4134/CKMS.2014.29.3.489

THE PRICING OF QUANTO OPTIONS IN THE DOUBLE SQUARE ROOT STOCHASTIC VOLATILITY MODEL  

Lee, Youngrok (Department of Mathematics Sogang University)
Lee, Jaesung (Department of Mathematics Sogang University)
Publication Information
Communications of the Korean Mathematical Society / v.29, no.3, 2014 , pp. 489-496 More about this Journal
Abstract
We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.
Keywords
quanto option; quanto measure; stochastic volatility; double square root model; closed-form expression;
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Times Cited By KSCI : 1  (Citation Analysis)
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