Open AccessTHE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL
Author(s) -
JaeSung Lee,
Youngrok Lee
Publication year - 2016
Publication title -
daehan suhaghoe nonmunjib/daehan suhakoe nonmunjip
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.286
H-Index - 15
eISSN - 2234-3024
pISSN - 1225-1763
DOI - 10.4134/ckms.2016.31.2.415
Subject(s) - vasicek model , currency , black–scholes model , foreign exchange risk , economics , valuation of options , volatility smile , stochastic game , implied volatility , strike price , stochastic volatility , interest rate , financial economics , exchange rate , foreign exchange swap , volatility (finance) , econometrics , monetary economics , mathematical economics