Derivatives

Foreign Exchange Floor

June 13, 2021
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A quanto option which gives the holder the right to sell a foreign asset (e.g., a share of stock) and have the proceeds converted into base currency at a predetermined exchange rate. In other words, the strike price of a quanto call is typically set in the base currency, while the value of the foreign asset is converted to base currency at a fixed exchange rate.

Quanto puts are also known as quantoed put options.

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