Derivatives
Negative Gamma
October 8, 2021
Real Estate
Break Option
October 8, 2021

A quanto option in which the terminal payoff is denominated in a foreign currency, instead of the domestic one (the currency of the payoff differs from that of the notional). The payoff is directly converted into foreign currency units at expiration date. The price of such an option is usually expressed as a percentage of the base currency amount.

This option is also known as a self-quanto option or a auto-quanto option.

Leave a Reply

Your email address will not be published.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

Related Posts