Derivatives

Quanto Asian Option

August 7, 2022
Derivatives

Quanto Factor

August 7, 2022

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An equity forward that is paid in a currency other than the currency denominating its underlying equity. The quanto feature implies a cross gamma effect between the forward exchange rate and the forward equity.

For example, a quanto equity forward may involve trading a forward equity contract denominated in one currency whilst paying at expiration the price of underlying stock denominated in another currency.

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