JMF  Vol.5 No.3 , August 2015
Pricing a European Option in a Black-Scholes Quanto Market When Stock Price is a Semimartingale
Abstract: We look at the price of the European call option in a quanto market defined on a filtered probability space when the exchange rate is being modeled by the process 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.
Cite this paper: Offen, E. and Lungu, E. (2015) Pricing a European Option in a Black-Scholes Quanto Market When Stock Price is a Semimartingale. Journal of Mathematical Finance, 5, 286-303. doi: 10.4236/jmf.2015.53025.

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