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Quantitative Finance · Begrippenlijst

Wat is Quanto option?

Definition 17.13 Derivatives and Volatility · Hoofdstuk 17 — Multi-Asset Options

A quanto option pays a payoff computed on a foreign asset in the foreign currency’s units but settled in the domestic currency at a fixed exchange rate: for instance (ST−K)+(S_T-K)^+ dollars per index point of a yen index.

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