국가지식-학술정보
PRICING OF QUANTO CHAINED OPTIONS
PRICING OF QUANTO CHAINED OPTIONS
- 대한수학회
- Communications of the Korean Mathematical Society
- Vol.31 No.1
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2016.01199 - 207 (9 pages)
- 0
커버이미지 없음
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 "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.
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