TY - JOUR
T1 - Pricing of quanto chained options
AU - Kim, Geonwoo
N1 - Publisher Copyright:
© 2016 Korean Mathematical Society.
PY - 2016
Y1 - 2016
N2 - 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.
AB - 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.
KW - Chained option
KW - Closed-form formulas
KW - Quanto option
KW - Reflection principle
UR - http://www.scopus.com/inward/record.url?scp=84957617368&partnerID=8YFLogxK
U2 - 10.4134/CKMS.2016.31.1.199
DO - 10.4134/CKMS.2016.31.1.199
M3 - Article
AN - SCOPUS:84957617368
SN - 1225-1763
VL - 31
SP - 199
EP - 207
JO - Communications of the Korean Mathematical Society
JF - Communications of the Korean Mathematical Society
IS - 1
ER -