Communications of the
Korean Mathematical Society
CKMS

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

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Commun. Korean Math. Soc. 2013; 28(3): 615-633

Printed July 1, 2013

https://doi.org/10.4134/CKMS.2013.28.3.615

Copyright © The Korean Mathematical Society.

Pricing of Quanto option under the Hull and White stochastic volatility model

Jiho Park, Youngrok Lee, and Jaesung Lee

Sogang University, Sogang University, Sogang University

Abstract

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.

Keywords: quanto option, stochastic volatility model, Hull and White model, correlation expansion method