Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 199-207 |
| Number of pages | 9 |
| Journal | Communications of the Korean Mathematical Society |
| Volume | 31 |
| Issue number | 1 |
| DOIs | |
| State | Published - 2016 |
Keywords
- Chained option
- Closed-form formulas
- Quanto option
- Reflection principle
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