a****o 发帖数: 686 | 1 say, underlying asset is SPX index, settled in JPY,
e.g. a call option on SPX index, with strike = 5000 in USD, say, at maturity
, spot = $6000, then the contract will payoff 1000 in JPY.
it is a classic FX quanto option.
how to calculates the greeks?
experienced ppl please.
thanks a lot. |
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