{"title":"定量远期和欧洲期权的定价","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":"{\"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}","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}
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.
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