Pricing of quanto chained options
Commun. Korean Math. Soc. 2016 Vol. 31, No. 1, 199-207
Printed January 31, 2016
Geonwoo Kim
Seoul National University
Abstract : 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
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