How is a quanto priced?

Asked Oct 23 '12 at 11:30

Active Oct 23 '12 at 13:41

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How would one price a derivative denominated in EUR that pays in USD?

edited Oct 23 '12 at 13:31

chrisaycock

asked Oct 23 '12 at 11:30

BlueTrin

4

Does this paper help? – chrisaycock Oct 23 '12 at 13:29
1

nice paper to explain the basic concepts. – Matt Wolf Oct 23 '12 at 13:53
@chrisaycock: thank you I will have a look, my stochastic calculus is quite bad so I may struggle a bit. – BlueTrin Oct 23 '12 at 15:12

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