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The Quanto Adjustment and the Smile

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  • Jacinto Marabel Romo

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Suggested Citation

  • Jacinto Marabel Romo, 2012. "The Quanto Adjustment and the Smile," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(9), pages 877-908, September.
    • Handle: RePEc:wly:jfutmk:v:32:y:2012:i:9:p:877-908
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    Cited by:

    1. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
    2. Long Teng & Matthias Ehrhardt & Michael Günther, 2018. "Quanto Pricing In Stochastic Correlation Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-20, August.
    3. Julien Hok & Sergei Kucherenko, 2021. "Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo," Papers 2106.08421, arXiv.org.
    4. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-43, March.

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