Commun. Korean Math. Soc. 2014; 29(3): 489-496
Printed July 1, 2014
https://doi.org/10.4134/CKMS.2014.29.3.489
Copyright © The Korean Mathematical Society.
Youngrok Lee and Jaesung Lee
Sogang University, Sogang University
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
MSC numbers: Primary 91B25, 91G60, 65C20
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