Quanto Option

created by mattbw
(idea) by mattbw (1.3 mon) (print)   ?   (I like it!) Mon Feb 28 2005 at 2:09:11
Financial Engineering

A Quanto option is an option with a cross-currency feature; that is, one with a payoff which is based on a market currency that differs from the payoff currency.

As an example, one could purchase in the Over the Counter or OTC market, a call option on the Nikkei 225's relative performance over a year, with payouts in USD.
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