Quanto Pricing beyond Black–Scholes
نویسندگان
چکیده
Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant been established. The objective here is to empirically assess the adequacy of quanto-option models. validation quanto-pricing has challenge so far, due lack comprehensive data records exchange-traded transactions. To overcome this, we make use structured products. After deriving prices for composite in existing modeling framework, propose new calibration procedure, carry out extensive analyses parameter stability and goodness fit plain vanilla exotic double-barrier options.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14030136