The pricing of quanto options in the double square root stochastic volatility model
Commun. Korean Math. Soc. 2014 Vol. 29, No. 3, 489-496
https://doi.org/10.4134/CKMS.2014.29.3.489
Published online July 1, 2014
Youngrok Lee and Jaesung Lee
Sogang University, Sogang University
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
MSC numbers : Primary 91B25, 91G60, 65C20
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