How is a quanto option priced?

Quanto forward: F_quanto = F_local x exp(rho x sigma_S x sigma_FX x T), where rho is correlation between asset and FX rate, sigma_S is asset vol, sigma_FX is FX vol. Then use BSM with quanto forward.

Where are quanto options used?

Equity-linked structured products in retail banking (e.g. note linked to Nikkei, paid in EUR), commodity certificates (oil price in EUR), and cross-currency swaps. Removes FX risk for foreign index exposure.

Quanto Option Currency Correlation Calculator

Calculate quanto option price where the payoff in a foreign currency is delivered in domestic currency at a fixed exchange rate. Currency correlation adjusts the forward price.

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Annual Rate (%)

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$ 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.

How to Use

Enter the values for the scenario you are assessing. Calculate quanto option price where the payoff in a foreign currency is delivered in domestic currency at a fixed exchange rate. Currency correlation adjusts the forward price. Use the quanto option result to inform your calculation.

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Quanto Option Currency Correlation Calculator

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Frequently Asked Questions

How is a quanto option priced?

Where are quanto options used?