[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/CKMS.2016.31.2.415

THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL

Lee, Jaesung (Department of Mathematics Sogang University)
Lee, Youngrok (Department of Mathematics Sogang University)

Publication Information

Communications of the Korean Mathematical Society / v.31, no.2, 2016 , pp. 415-422 More about this Journal

Abstract

We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.

Keywords

quanto option; stochastic interest rate; Vasicek's model; closed-form expression;

Citations & Related Records

Times Cited By KSCI : 1 (Citation Analysis)

Reference
Cited By KSCI

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