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Quanto Himalayan Option Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Options (Finance)
- Item Type:
- Article
- Tag(s):
- quanto option, hi
- Permanent URL:
- https://doi.org/10.17613/wrx9-kh07
- Abstract:
- This article presents analytics for pricing quanto Himalayan options on equity, where the single best return is locked in each fixing period. Specifically, we considered the impact of the quanto adjustment term on calibration and the computation of option premium and hedge ratios
- Notes:
- https://finpricing.com/lib/EqBarrier.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 8 months ago
- License:
- Attribution
quantohimalaya.pdf