Foreign exchange quanto options

Uwe Wystup

No 10, CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)

Abstract: A quanto option can be any cash-settled option, whose payoff is converted into a third currency at maturity at a pre-specified rate, called the quanto factor. There can be quanto plain vanilla, quanto barriers, quanto forward starts, quanto corridors, etc. The valuation theory is covered for example in [3] and [1].

Date: 2008
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Citations: View citations in EconPapers (6)

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