Quanto adjustment in Monte Carlo
Posted: February 27th, 2006, 12:49 pm
Hi All,Just looking for a bit of help/advice. I see a lot of discussions in relation to quanto adjustment on the message boards, but was wondering about a particular simulation question, hope this is not too similar to what has been posted before.If pricing a basket option on equity indicies in 2+ different currencies using Monte Carlo, should you make the quanto adjustment as part of the simulation step or at the end in determining the payoff? What is the best way of doing the quanto adjustment in MC? or does anyone have any good references.Thanks in advance for any help.