Communications of the
Korean Mathematical Society
CKMS

ISSN(Print) 1225-1763 ISSN(Online) 2234-3024

Article

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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.

The pricing of quanto options in the double square root stochastic volatility model

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