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arXiv · 2009.02566

Skewing Quanto with Simplicity

George Hong
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Abstract

We present a simple and highly efficient analytical method for solving the Quanto Skew problem in Equities under a framework that accommodates both Equity and FX volatility skew consistently. Ease of implementation and extremely fast performance of this new approach should benefit a wide spectrum of market participants.

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George Hong. 2020-09-05. Skewing Quanto with Simplicity. https://arxiv.org/abs/2009.02566

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