Quanto Power-Function Exchange Options Pricing
Abstract：The pricing problems of quanto European power-function stock exchange options were studied. Based on different economic backgrounds, two pricing models of quanto power-function exchange options were proposed under the risk-neutral probability measure; the corresponding pricing formula was derived by using the martingale pricing principle and Girsanov transformation.
Keywords：quanto optionspower-function exchange optionsmartingale pricingGirsanov transformation
Publication Date：2011-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：4( 35-38 )