Quanto Option - Fixed Exchange Rate Foreign Equity

Fixed exchange rate foreign equity options - Quanto. Value is in domestic currency.


Below a table with call and put prices for given parameters.

  • Input Parameters
  • Call or Put option
  • Fixed exchange rate ( Ep )
  • Asset price ( S )
  • Strike price ( X )
  • Time to maturity ( T )
  • Domestic rate ( r )
  • Foreign rate ( rf )
  • Dividend yield ( q )
  • Volatility stock ( vS )
  • Volatility currency ( vE )
  • Correlation ( rho )
  • Parameter Values
  • Call/Put option
  • 1.50
  • 100.0
  • 105.0
  • 0.50
  • 0.08
  • 0.05
  • 0.04
  • 0.20
  • 0.10
  • 0.30
  • Call/Put Prices
  • Call: 5.3280
  • Put :12.2454