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Title:Foreign exchange quanto options PDF Logo
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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