Communications of the
Korean Mathematical Society
CKMS
ISSN(Print) 1225-1763
ISSN(Online) 2234-3024
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Commun. Korean Math. Soc. 2016; 31(2): 415-422
Printed April 30, 2016
https://doi.org/10.4134/CKMS.2016.31.2.415
Copyright © The Korean Mathematical Society.
The pricing of quanto options under the Vasicek's short rate model
Jaesung Lee and Youngrok Lee
Sogang University, Sogang University
We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.
Keywords: quanto option, stochastic interest rate, Vasicek's model, closed-form expression
MSC numbers: Primary 91B25, 91G60, 65C20
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