PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS

This paper deals with the problem of Black-Scholes pricing for the Quanto option pricing with power type powered and powered payoff underlying foreign currency is driven by Brownian motion and Poisson jumps, via risk-neutral probability measure. Our approach in this work is probabilistic, based on F...

Celý popis

Podrobná bibliografie

Hlavní autoři:	Javed Hussain, Nisar Ali
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	Ural Branch of the Russian Academy of Sciences and Ural Federal University named after the first President of Russia B.N.Yeltsin, Krasovskii Institute of Mathematics and Mechanics 2024-07-01
Edice:	Ural Mathematical Journal
Témata:	financial derivatives, quanto option, power payoff, risk-neutral dynamics
On-line přístup:	https://umjuran.ru/index.php/umj/article/view/603
Tagy:	Přidat tag Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!