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Quanto zero strike call
Hi All,I always had the impression that for a Quanto zero strike call the price is not sensitive to EQ-FX correlation and volatility of the underlying. However I found that the price is sensitive to both EQ-FX Correlation and volatility of the underlying. Does anyone have a good explanation to this?Regards,
Quanto zero strike call
why should the quanto zero strike call not have sensitivity to correlation and fx vol ? The quanto adjustment is to the forward price - so whether it is zero strike or otherwise is irrelevant.
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