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

Autor:	Javed Hussain, Nisar Ali
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	financial derivatives quanto option power payoff risk-neutral dynamics Mathematics QA1-939
Zdroj:	Ural Mathematical Journal, Vol 10, Iss 1 (2024)
Druh dokumentu:	article
ISSN:	2414-3952
DOI:	10.15826/umj.2024.1.005
Popis:	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 Feynman–Kac formula.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/b6f65e5b1a8940a1ae825f95911bc9db Zobrazit plný text záznamu View record in DOAJ