PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS

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