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Quanto Option Fixed Rate Foreign Equity

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luca pilotti
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14 views

Quanto Option Fixed Rate Foreign Equity

Uploaded by

luca pilotti
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Quanto Options

Fixed Rate Foreign Equity Options


http://investexcel.net

Parameters
Time to Expiry (years) 1
Underlying Asset in Foreign Currency 45
Delivery Price in Foreign Currency 50
Interest rate for Domestic Currency 5%
Interest rate for Foreign Currency 4%
Ex Rate for Domestic/Foreign Currency 10
Spot Rate for Foreign/Domestic Currency 0.1
Volatility of Underlying 12%
Volatility of Domestic Currency 8%
Dividend Yield of Underlying 3%
Correlation of Asset to Domestic Currency 0.2

Results Call Put


Option in Domestic Currency 6.4061176 50.49491
Option in Foreign Currency 0.6406118 5.049491

Intermediate Calculations
dt 0.12
d1 -0.750671
d2 -0.870671
nd1 0.22642535
nd2 0.19196692
nnd1 0.77357465
nnd2 0.80803308

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