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Quanto CDS pricer in Python

I am sales and would like to grasp rough levels of quanto CDS, such as BMW denominated in USD, without askin traders each time. What i'm thinking is to calculte it using Python. But i cannot build up ...
neko's user avatar
  • 3
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Option Payoff in Different Currencies

In the stackexchange answer Change of numeraire in options with currency exchange features Pratically speaking, what this expresses is that these two things are the same: Converting the payoff (which ...
Julie Taylor's user avatar
2 votes
1 answer

Pricing Quantos with Local-Stochastic Volatility model

I would like to price equity quanto options with the Heston Local-Stochastic Volatility model (LSV) but I am having hard time understanding how to apply quanto adjustment in such complex setup. When ...
justLeito's user avatar
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What is the meaning of Domestic Exchange Rate here?

So I have the following formula for the Pricing of a Quanto Option (see image below). While I understand this formula pretty well, I am not sure what is referred to as "domestic exchange rate&...
Ozee's user avatar
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2 votes
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How is an exchange rate process a martingale under any measure?

Suppose a process for a stock price of a US-based company traded in the USA is, under the USD money-market numeraire: $$dS_t=S_tr_{USD}dt+S_t\sigma_SdW_1(t)$$ Using fundamental theorem of asset ...
Conductor's user avatar
1 vote
2 answers

Quanto options, domestic = underlying

How should you price Quanto option, where domestic = underlying? Example: Let's say I want to price Quanto option in EUR on EUR/USD pair, but the option is settled in EUR. Should I use normal Quanto ...
lukas kiss's user avatar
3 votes
1 answer

Pricing of European options on two underlying assets

Is anybody able to give the solution to the following problem? Suppose we have two assets, each of which follows a GBM process, and where $dW_S$ and $dW_X$ are correlated $(dW_SdW_X=\rho)$. $dS=\mu_s ...
Eastwood94's user avatar
1 vote
1 answer

Calibrate Local Volatility model to price quanto options

I have a Local Volatility model. I compute the LV surface $\sigma_{S}^{local}$ on vanilla option of $S$. Assume the vol of foreign exchange is constant and know, and the correlation equity/FX is known....
Joanna's user avatar
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pricing crypto quanto swap and perpetual How do you apply stochastic quanto pricing formulas to quanto crypto futures and perpetuals? I can see couple ...
adam's user avatar
  • 539