Correlation Smile Quanto Adjustment Calculator

Price quanto options by adjusting the drift for FX-equity correlation. Quanto adjustment = -rho * sigma_S * sigma_FX, reducing the drift when equity and FX are positively correlated.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Price quanto options by adjusting the drift for FX-equity correlation. Quanto adjustment = -rho * sigma_S * sigma_FX, reducing the drift when equity and FX are positively correlated. Use the quanto correlation adj result to inform your calculation.

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Frequently Asked Questions