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Posted: **January 9th, 2008, 3:37 am**

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,

Posted: **January 9th, 2008, 8:01 am**

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.