Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options

Chuang-Chang Chang, Tzu-Hsiang Liao and Chueh-Yung Tsao
The Journal of Derivatives Summer 2011, 18 (4) 37-53; DOI: https://doi.org/10.3905/jod.2011.18.4.037
Chuang-Chang Chang
is a professor in the Department of Finance at National Central University in Taiwan.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ccchang@cc.ncu.edu.tw
Tzu-Hsiang Liao
is an assistant professor in the Department of Finance at Ming Chuan University in Taiwan.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: thliao@mail.mcu.edu.tw
Chueh-Yung Tsao
is an associate professor in the Department of Industrial and Business Management at Chang Gung University in Taiwan.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: cytsao@mail.cgu.edu.tw
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

The rapid development and proliferation of derivatives around the world has produced numerous complicated contracts. Relatively few have attracted much interest in the marketplace, but some have become actively traded. If a derivatives contract is based on an underlying asset denominated in a different currency, a quanto adjustment is required to adjust for the correlation between the exchange rate and the price of the underlying asset. If a contract is intended to hedge against an adverse price change on something that has to be purchased regularly rather than at a single future date, such as natural gas for home heating, it makes sense for its payoff to be based on the average price over a period of time. And if that averaging period starts at a future date, not at contract initiation, one can arrive at a quanto forward-starting floating- strike Asian option. This article presents approximate closed form valuation models for four different types of these contracts and provides formulas for their Greek risk exposures.

  • © 2011 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives: 18 (4)
The Journal of Derivatives
Vol. 18, Issue 4
Summer 2011
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options
Chuang-Chang Chang, Tzu-Hsiang Liao, Chueh-Yung Tsao
The Journal of Derivatives May 2011, 18 (4) 37-53; DOI: 10.3905/jod.2011.18.4.037

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options
Chuang-Chang Chang, Tzu-Hsiang Liao, Chueh-Yung Tsao
The Journal of Derivatives May 2011, 18 (4) 37-53; DOI: 10.3905/jod.2011.18.4.037
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • ANALYTIC APPROXIMATION FORMULAE
    • ANALYTIC APPROXIMATION FORMULAE OF GREEKS
    • NUMERICAL ANALYSIS
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Moment-Matching Approximations for Asian Options
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Editor’s Letter
  • Editor’s Letter
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies