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JOURNALS // Ural Mathematical Journal // Archive

Ural Math. J., 2024 Volume 10, Issue 1, Pages 61–67 (Mi umj220)

Pricing powered $\alpha$-power Quanto options with and without Poisson jumps

Javed Hussain, Nisar Ali

Sukkur IBA University

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

Language: English

DOI: 10.15826/umj.2024.1.005



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© Steklov Math. Inst. of RAS, 2024