{"title":"Pricing quanto forward and European options","authors":"P. Stiefenhofer, S. Kumar, A. Gregoriou","doi":"10.12988/mse.2020.986","DOIUrl":null,"url":null,"abstract":"In this paper, using Black-Scholes assumptions, we derive an analytical closed form solution for the pricing of a quanto forward and option contract. We use techniques of stochastic calculus and continuous time in order to establish a closed form solution for a quanto forward and option.","PeriodicalId":145079,"journal":{"name":"Mathematical and Statistical Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mathematical and Statistical Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12988/mse.2020.986","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, using Black-Scholes assumptions, we derive an analytical closed form solution for the pricing of a quanto forward and option contract. We use techniques of stochastic calculus and continuous time in order to establish a closed form solution for a quanto forward and option.