Top PDF PRICING and STATIC REPLICATION of FX QUANTO OPTIONS
I s an old exam quesion. Acuarial J. Pricing dynamic. Opions and Volailiy Peer A. Abken and Saika Nandi Abken and Nandi are senior economiss in he financial secion of he Alana Fed s research deparmen. V olailiy is a measure of he dispersion of an asse price. E-mail: sven. Insiue of acuarial sciences. In a ypical paricipaing life insurance conrac, he insurance company is eniled o a. Random Walk in -D Random walks appear in many cones: diffusion is a random walk process undersanding buffering, waiing imes, queuing more generally he heory of sochasic processes gambling choosing he bes.
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Arbitrage-free pricing of Credit Index Options. The no-armageddon pricing measure and the role of correlation after the subprime crisis Arbirage-free pricing of Credi Index Opions. Mehods, Bocconi More information. Sock Transacions Involving Credi More information. Chapter 7.
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The More information. Option Valuation. To make this website work, we log user data and share it with processors. To use this website, you must agree to our Privacy Policy , including cookie policy. I agree. For a better experience, please enable JavaScript in your browser before proceeding. You are using an out of date browser. It may not display this or other websites correctly. You should upgrade or use an alternative browser. Quanto options.. I am trying to understand the intuition behind how quants are hedged.. So the trader is short gamma and will make losses on his delta hedge..
Alright so in this example an American investor wants to own an Australian equity and get paid the return that equity experiences in the local market, but in USD. If it's zero, he won't deal any FX option and just hedge out the FX exposure with forwards as it develops. Once he marks his correlation at what he think it will actually realize until maturity of the quant0 and then hedges his FX option exposure according to that correlation, his unhedged risk becomes purely being wrong about his correlation assumption as that will have him mis-hedged on his gamma. There's not really a way to hedge this exposure, so traders will price the quanto option using a conservative assumption for what the correlation could be, and then risk manage according to fair value, hoping to earn the difference in price between where they bid or offered the correlation and where they actually believe it will realize.
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