Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/40194 
Authors: 
Year of Publication: 
2008
Series/Report no.: 
CPQF Working Paper Series No. 10
Publisher: 
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF), Frankfurt a. M.
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].
Document Type: 
Working Paper

Files in This Item:
File
Size
222.48 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.