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Math Help - Quantoing a call option on a stock

  1. #1
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    Quantoing a call option on a stock

    A stock trades in the US market for $98. The dividend yield on thestock is 4.15%: The volatility of the stock is 35%. The US interest rate,continuously compounded, is 6.5%. I want to quote on quantoing thestock into a foreign currency that has a continuously compounded interestrate of 8.14%. The volatility of the exchange rate measured in units offoreign currency per US dollar is 12% while the correlation between thestock and the exchange rate is 0.45.

    Prepare a quote on a six month call option struck at $110 and quantoedinto the foreign currency.


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  2. #2
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    Re: Quantoing a call option on a stock

    Quote Originally Posted by stones44 View Post
    A stock trades in the US market for $98. The dividend yield on thestock is 4.15%: The volatility of the stock is 35%. The US interest rate,continuously compounded, is 6.5%. I want to quote on quantoing thestock into a foreign currency that has a continuously compounded interestrate of 8.14%. The volatility of the exchange rate measured in units offoreign currency per US dollar is 12% while the correlation between thestock and the exchange rate is 0.45.

    Prepare a quote on a six month call option struck at $110 and quantoedinto the foreign currency.

    Hi stones44,
    What's the meaning of quantoing the stock into the foreign currency?
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