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Commun. Korean Math. Soc. 2017; 32(2): 467-477
Online first article April 3, 2017 Printed April 30, 2017
https://doi.org/10.4134/CKMS.c160114
Copyright © The Korean Mathematical Society.
Local volatilities for quanto option prices with various types of payoffs
Youngrok Lee
Sogang University
This paper is about the derivations of local volatilities for European quanto call option prices according to various types of payoffs. We derive the explicit formulas of local volatilities with constant foreign and domestic interest rates by adapting the method of Derman-Kani.
Keywords: local volatility, quanto option, payoff, exchange rate, exchange option
MSC numbers: 91G20, 60G20, 65C20
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