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http://hdl.handle.net/10419/40194
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| Title: | | Foreign exchange quanto options  |
| Authors: | | Wystup, Uwe |
| Issue Date: | | 2008 |
| Series/Report no.: | | CPQF Working Paper Series 10 |
| 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 |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
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