Arbeitspapier
Foreign exchange quanto options
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].
- Sprache
-
Englisch
- Erschienen in
-
Series: CPQF Working Paper Series ; No. 10
- Klassifikation
-
Wirtschaft
- Thema
-
Devisenoptionsgeschäft
Optionspreistheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wystup, Uwe
- Ereignis
-
Veröffentlichung
- (wer)
-
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Wystup, Uwe
- Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Entstanden
- 2008
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