Abstract
The objective of this work is threefold. Firstly, to derive the no-arbitrage premium of the α-Quanto option with power type payoff. Secondly, to price the Quanto option of power payoff when the underlying foreign currency is driven by Brownian motion and Poisson jumps, via risk-neutral probability measure. Thirdly, derive and analyze the price of the compound call option contingent upon the Quanto power call option. Our approach in deriving the pricing formulas in all three cases would be probabilistic, based on the Feynman–Kac formula.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
