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  • August 7, 2022
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Quantoed Call Option

A quantoed option whose payoff is determined based on a contractually agreed exchange rate and the difference between the sport price (spot exchange rate) at expiration and the strike price. The payoff for a quantoed call option (per unit of underlying rate) is given by:

Payoffcall = FXfixed × max [S -X, 0]

Where: FXfixed is the pre-agreed exchange rate, S is the spot price at expiration, and X is the option’s strike price.

Quantoed call options are also referred to as quanto calls.


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