PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS
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 F...
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Ural Branch of the Russian Academy of Sciences and Ural Federal University named after the first President of Russia B.N.Yeltsin, Krasovskii Institute of Mathematics and Mechanics
2024-07-01
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| Series: | Ural Mathematical Journal |
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| Online Access: | https://umjuran.ru/index.php/umj/article/view/603 |
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| _version_ | 1849407906214051840 |
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| author | Javed Hussain Nisar Ali |
| author_facet | Javed Hussain Nisar Ali |
| author_sort | Javed Hussain |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-b6f65e5b1a8940a1ae825f95911bc9db |
| institution | Kabale University |
| issn | 2414-3952 |
| language | English |
| publishDate | 2024-07-01 |
| publisher | Ural Branch of the Russian Academy of Sciences and Ural Federal University named after the first President of Russia B.N.Yeltsin, Krasovskii Institute of Mathematics and Mechanics |
| record_format | Article |
| series | Ural Mathematical Journal |
| spelling | doaj-art-b6f65e5b1a8940a1ae825f95911bc9db2025-08-20T03:35:54ZengUral Branch of the Russian Academy of Sciences and Ural Federal University named after the first President of Russia B.N.Yeltsin, Krasovskii Institute of Mathematics and MechanicsUral Mathematical Journal2414-39522024-07-0110110.15826/umj.2024.1.005201PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPSJaved Hussain0Nisar Ali1Department of Mathematics, Sukkur IBA University, Nisar Ahmed Siddiqui Road, Sukkur SindhDepartment of Mathematics, Sukkur IBA University, Nisar Ahmed Siddiqui Road, Sukkur SindhThis 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.https://umjuran.ru/index.php/umj/article/view/603financial derivatives, quanto option, power payoff, risk-neutral dynamics |
| spellingShingle | Javed Hussain Nisar Ali PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS Ural Mathematical Journal financial derivatives, quanto option, power payoff, risk-neutral dynamics |
| title | PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS |
| title_full | PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS |
| title_fullStr | PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS |
| title_full_unstemmed | PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS |
| title_short | PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS |
| title_sort | pricing powered alpha power quanto options with and without poisson jumps |
| topic | financial derivatives, quanto option, power payoff, risk-neutral dynamics |
| url | https://umjuran.ru/index.php/umj/article/view/603 |
| work_keys_str_mv | AT javedhussain pricingpoweredalphapowerquantooptionswithandwithoutpoissonjumps AT nisarali pricingpoweredalphapowerquantooptionswithandwithoutpoissonjumps |