Quanto options with path dependent features and their multi-asset extensions
by Wong Hoi Ying
ix, 66 leaves : ill. ; 30 cm
Quanto options are equity-linked foreign exchange options designed for investors who would like to protect against foreign exchange rate exposure. This paper presents a systematic framework to derive pricing formulas for a variety of European-style quanto options with path-dependent payoff functions. The path dependent features can be the barrier feature associated with the underlying asset price movement and the averaging feature of the exchange rate over the life of the option. The extension of the pricing formulations to multi-asset extremum options with the quanto feature is also considered.
Permanent URL for this record: https://lbezone.hkust.edu.hk/bib/b645945
Post a Comment