Main category
Economics (General Management)
Abstract
We present analytics for pricing quanto European-style Himalayan options on equity (stock or index), 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.
Further reading
https://ia601408.us.archive.org/0/items/quanto-himalaya/QuantoHimalaya.pdf
Do you have problems viewing the pdf-file? Download presentation
here
If the presentation contains inappropriate content, please
report the presentation. You will be redirected to the landing page.
