Pricing of Quanto power options and related exotic options
The objective of this work is threefold. Firstly, to derive the no-arbitrage premium of the α-Quanto option with power type payoff. Secondly, to price the Quanto option of power payoff when the underlying foreign currency is driven by Brownian motion and Poisson jumps, via risk-neutral probability m...
| 發表在: | Results in Applied Mathematics |
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| 主要作者: | |
| 格式: | Article |
| 語言: | 英语 |
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Elsevier
2023-05-01
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| 在線閱讀: | http://www.sciencedirect.com/science/article/pii/S2590037423000171 |