Browse > Article
http://dx.doi.org/10.4134/CKMS.c160114

LOCAL VOLATILITIES FOR QUANTO OPTION PRICES WITH VARIOUS TYPES OF PAYOFFS  

Lee, Youngrok (Department of Mathematics Sogang University)
Publication Information
Communications of the Korean Mathematical Society / v.32, no.2, 2017 , pp. 467-477 More about this Journal
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.
Keywords
local volatility; quanto option; payoff; exchange rate; exchange option;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
1 Y. Lee and J. Lee, Local volatility for quanto option prices with stochastic interest rates, Korean J. Math. 23 (2015), no. 1, 81-91.   DOI
2 F. Black and M. Scholes, The pricing of options and corporate liabilities, J. Polit. Econ. 81 (1973), no. 3, 637-654.   DOI
3 E. Derman and I. Kani, Stochastic implied trees: arbitrage pricing with stochastic term and strike structure of volatility, Int. J. Theoretical Appl. Finance 1 (1998), no. 1, 61-110.   DOI
4 B. Dupire, Pricing with a smile, Risk Magazine 7 (1994), no. 1, 18-20.
5 Y.-K. Kwok, Mathematical Models of Financial Derivatives, 2nd ed., Springer, Berlin, 2008.