Paper Title
Pricing Quanto Options Within the Markov-Modulated, Cross-Currency Market Model

Abstract
In this study, we investigate the fair valuation of quanto options under stochastic interest rates when the foreign equity price dynamics and the foreign exchange rate dynamics are governed by a Markov-modulated, cross-currency market model with both individual jumps and concurrent jumps. In addition, the random Esscher transform technique is developed to determine the pricing kernel in an incomplete market economy. Finally, the explicit analytical formula of European-style quanto options is given. Keywords - Quanto, Foreign Equity Price, Foreign Exchange Rate, Markov-Modulated, Cross-Currency Market Model, Random Esscher Transform.