Opțiunea quanto

opțiunea quanto

Jump to navigation Jump to search A quanto is a type of derivative in which the underlying is denominated in one currencybut the opțiuni binare zilnice itself is settled in another currency at some opțiunea quanto.

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Such products are attractive for speculators and investors who wish to have exposure to a foreign asset, but without the corresponding exchange rate risk. Quantos are attractive because they shield the purchaser from exchange rate fluctuations.

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Essentially, a quanto has an embedded currency forward with a variable notional amount. It is that variable notional amount that give quantos their name—"quanto" is short for "quantity adjusting opțiunea quanto.

Quanto options have both the strike price and underlier denominated in the foreign currency.

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At exercise, the value of the option is calculated as the option's intrinsic value in the foreign currency, which is then converted to the domestic currency at the fixed exchange rate. In these markets, a Quanto is a weather-contingent energy or commodity derivative. Weather contingent means that a payoff is triggered if some weather variable typically temperature, but also precipitation or any other weather variable crosses from above or from below a specified strike value.

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For the structure to be called Quanto, the payoff must depend on the market price of a publicly traded commodity. A typical example of a buyer of a Quanto is a retailer in a liberalized electricity opțiunea quanto, with a customer base to which they deliver to a fixed contracted price.

The retailers do buy most of their electricity forward, but have to go and purchase from the expensive spot market whenever they need to deliver more than what they've planned to.

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This situation typically occurs if the weather is hotter colder than expected and a substantial number of households turn on the airconditioning heating.

As electricity demand rises sharply in such a situation, spot prices spike while the revenue from the sales side remains constant.

Essa sarà vincolata da tali articoli solo in quanto parte contraente distinta. Danemarca va avea obligații în temeiul articolelor respective doar în calitate de parte contractantă distinctă. L'autorizzazione è limitata all'immissione in commercio di fiori recisi del garofano geneticamente modificato in quanto prodotto. Autorizația se limitează la introducerea pe piață, sub formă de flori tăiate, a garoafelor de grădină modificate genetic în calitate de produs.

Buying a quanto allows the retailer to hedge against that risk. Common types of quanto include : Quanto futures contractssuch as a futures contract on a European stock market index which is settled in US dollars. Quanto optionsin which the difference between the underlying and a fixed strike price is paid out in another currency.

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Quanto swapsin which one counterparty pays a non-local interest opțiunea quanto to the other, but the notional amount is in local currency. Opțiunea quanto second party may be paying a fixed or floating rate. For example, a swap in which the notional amount is denominated in Canadian dollarsbut where the floating rate is set as USD LIBORwould be considered a quanto swap.

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Quanto credit default swapin which default protection is purchased on a notional amount specified in one currency, opțiunea quanto the regular protection payment is denominated in a different currency. Pricing Quanto Derivatives[ edit ] Pricing quanto derivatives involves modeling financial variables stocks, interest rates etc.

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In order to write the dynamics of the modeled financial variables under foreign currency pricing measure one has to apply Girsanov theorem leading to a drift term which depends on its volatility, the FX rate volatility FX rate between the pricing currency and the modeled variable opțiunea quanto and correlation between both.