We look at the price of the European call option in a quanto market defined on a filtered probability space (Ω, ,,   ) when the exchange rate is being modeled by the process EE H t t = 0exp{ } where Ht is a semimartingale. Precisely we look at an investor in a Sterling market who intends to buy a European call option in a Dollar market. The market consists of a Dollar bond, Sterling bond and and Sterling risky asset. We first of all convert the Sterling assets by using the exchange rate Et and later on derive an integro-differential equation that can be used to calculate the price on the option. Keywords Semimartingale, Hedging, Arbitrage,

Projects

Currently no objects available

Currently no objects available