Ural Mathematical Journal
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Ural Math. J.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Ural Mathematical Journal, 2024, Volume 10, Issue 1, Pages 61–67
DOI: https://doi.org/10.15826/umj.2024.1.005 (Mi umj220) 		 
Pricing powered $\alpha$-power Quanto options with and without Poisson jumps

Javed Hussain, Nisar Ali

Sukkur IBA University
Full-text PDF (189 kB)
References:
PDF
HTML
DOI: https://doi.org/10.15826/umj.2024.1.005
Abstract: 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.
Keywords: Financial derivatives, Quanto option, Power payoff, Risk-neutral dynamics
Bibliographic databases:
Document Type: Article
Language: English
Citation: Javed Hussain, Nisar Ali, “Pricing powered $\alpha$-power Quanto options with and without Poisson jumps”, Ural Math. J., 10:1 (2024), 61–67
Citation in format AMSBIB
\Bibitem{HusAli24}
\by Javed~Hussain, Nisar~Ali
\paper Pricing powered $\alpha$-power Quanto options with and without Poisson jumps
\jour Ural Math. J.
\yr 2024
\vol 10
\issue 1
\pages 61--67
\mathnet{http://mi.mathnet.ru/umj220}
\crossref{https://doi.org/10.15826/umj.2024.1.005}
\elib{https://elibrary.ru/item.asp?id=68586404}
\edn{https://elibrary.ru/SZYBJI}
Linking options:
  • https://www.mathnet.ru/eng/umj220
  • https://www.mathnet.ru/eng/umj/v10/i1/p61
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Ural Mathematical Journal
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024