European-Style Quanto Digital

Islamic Finance
Khalabah
September 10, 2021
Mutual Funds
Redemption Risk
September 10, 2021

A quanto digital option that can only be exercised at its expiration date. It pays the difference between the spot price of the currency pair at maturity (quanto price: the conversion rate from the domestic currency to the quanto currency) and the strike price (for a call in case: spot price > strike price, and for a put when: spot price < strike price).

Leave a Reply

Your email address will not be published. Required fields are marked *

Related Posts