Quanto fund protection using partial lookback participation

Hangsuck Lee, Hongjun Ha, Eunchae Kim and Minha Lee

The North American Journal of Economics and Finance, 2024, vol. 73, issue C

Abstract: In light of the intricate nature of global fund markets, investors need securities that enable them to manage the values of foreign funds adjusted by exchange rates, commonly referred to as quanto fund values. This paper delves into the development of contracts that protect quanto fund values through partial lookback participation and their valuations. In order to accomplish this, we derive a generalized analytical expected value of a function of state variables and partial extreme, which serves to streamline the process of developing and pricing exotic quanto fund protections. These pricing formulas are useful in determining fair participation rates for a preferred return during a monitoring period. Numerical experiments that showcase the properties of the proposed contracts are provided.

Keywords: Quanto fund; Partial lookback; Partial quanto extreme; Participation rate (search for similar items in EconPapers)
JEL-codes: G13 G22 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001116

DOI: 10.1016/j.najef.2024.102186

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