Quanto Option Pricing [Excel VBA]

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Quanto Option Pricing
Submitter: vanna	Date: 2007/5/3

Description: This spreadsheet calculates Quanto Option price for a stock option on foriegn stock, using formula as mentioned in equation (3) of Brigo's paper on Quanto Options (adjusted to make volatility seperate) Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
3255 0 bytes Excel VBA http://www.quantcode.com/
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Anonymous	Posted: 2012/4/16 8:28 Updated: 2012/5/6 19:18
	Quanto Option Pricing Hello, I have to build a pricer of a call in Euri in which the stock is in $. I found the folowing dynamic: dSt=St(rf-q-rhosigSsigFX)dt+sigSdWt rf: foreign rate ($ interest rate) rho: correlation between eur/usd and the stock q: dividend rate sigS: STock volatility sigFX: eur/sud volatility

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