Communications of the
Korean Mathematical Society CKMS

A chained option is a barrier option activated in the event that the underlying asset price crosses barrier or barriers prior to maturity in a specified order. In this paper, we study the pricing of chained options with the quanto property called the ``\emph{Quanto chained option}". A quanto chained option is a chained option starting at time when the foreign exchange rate has the multiple crossing of specified barriers. We provide closed-form formulas for valuing the quanto chained options based on probabilistic approach.

Keywords: quanto option, chained option, reflection principle, closed-form formulas

MSC numbers: Primary 91B25, 91G60