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2017
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This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman \& Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.
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참고문헌 (4)
참고문헌 신청
B. Dupire / 1994 / Pricing with a Smile / Risk Magazine 7 (1) : 18 ~ 20
E. Derman / 1998 / Stochastic Implied Trees: Arbitrage Pricing with Stochas-tic Term and Strike Structure of Volatility / International Journal of Theoretical and Applied Fin
F. Black / 1973 / The Pricing of Options and Corporate Liabilities / The Journal of Political Economy 81 (3) : 637 ~ 654
M. Overhaus / 2007 / Equity Hybrid Derivatives / John Wiley & Sons
E. Derman / 1998 / Stochastic Implied Trees: Arbitrage Pricing with Stochas-tic Term and Strike Structure of Volatility / International Journal of Theoretical and Applied Fin
F. Black / 1973 / The Pricing of Options and Corporate Liabilities / The Journal of Political Economy 81 (3) : 637 ~ 654
M. Overhaus / 2007 / Equity Hybrid Derivatives / John Wiley & Sons
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