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http://dx.doi.org/10.4134/CKMS.2016.31.1.199

PRICING OF QUANTO CHAINED OPTIONS  

Kim, Geonwoo (Department of Mathematical Sciences Seoul National University)
Publication Information
Communications of the Korean Mathematical Society / v.31, no.1, 2016 , pp. 199-207 More about this Journal
Abstract
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.
Keywords
quanto option; chained option; reflection principle; closed-form formulas;
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Times Cited By KSCI : 2  (Citation Analysis)
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