Quanto Fund Protection Using Partial Lookback Participation
Given the complexity of global markets, investors need securities to manage foreign fund values adjusted by exchange rates, so-called quanto fund values. This paper discusses designing contracts for protecting quanto fund value through partial lookback participation and their valuations. To this end, we derive a generalized analytical expected value of a function of state variables and partial extreme. The derived expectation facilitates developing and pricing exotic quanto fund protections. The pricing formulas are beneficial in determining fair participation rates of a preferred return during a monitoring period. Numerical experiments showing the properties of the proposed contracts are provided
Year of publication: |
[2023]
|
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Authors: | Lee, Hangsuck ; Ha, Hongjun ; Kim, Eunchae ; Lee, Minha |
Publisher: |
[S.l.] : SSRN |
Saved in:
freely available
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