Skewing Quanto with Simplicity
Mathematical Finance
2020-09-08 v1
Authors:
George Hong
Abstract
We present a simple and highly efficient analytical method for solving the Quanto Skew problem in Equities under a framework that accommodates both Equity and FX volatility skew consistently. Ease of implementation and extremely fast performance of this new approach should benefit a wide spectrum of market participants.
Cite
@article{arxiv.2009.02566,
title = {Skewing Quanto with Simplicity},
author = {George Hong},
journal= {arXiv preprint arXiv:2009.02566},
year = {2020}
}
Related papers
View all related →
Pricing of Securities · Quantitative Finance
Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
Boris Ter-Avanesov, Gunter A. Meissner
2024-11-26
Computational Finance · Quantitative Finance
The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods
Lisha Lin, Yaqiong Li, Rui Gao, Jianhong Wu
2019-10-10
Quantum Physics · Physics
Toward Quantum Enabled Solutions for Real-Time Currency Arbitrage in Financial Markets
Suman Kumar Roy, Rahul Rana, M Girish Chandra, Nishant Kumar +1
2025-11-03
Quantum Physics · Physics
Exponential Qubit Reduction in Optimization for Financial Transaction Settlement
Elias X. Huber, Benjamin Y. L. Tan, Paul R. Griffin, Dimitris G. Angelakis
2024-09-04
Numerical Analysis · Mathematics
An integrated quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
Zhijian He, Xiaoqun Wang
2019-02-27
Pricing of Securities · Quantitative Finance
Pricing Quanto and Composite Contracts with Local-Correlation Models
Andrea Pallavicini
2025-01-14
Trading and Market Microstructure · Quantitative Finance
Dealing with multi-currency inventory risk in FX cash markets
Alexander Barzykin, Philippe Bergault, Olivier Guéant
2023-10-31
Pricing of Securities · Quantitative Finance
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Julien Hok, Philip Ngare, Antonis Papapantoleon
2018-04-04
Pricing of Securities · Quantitative Finance
Efficient and Accurate Calibration to FX Market Skew with Fully Parameterized Local Volatility Model
Dongli Wu, Bufan Zhang, Xiao Lin
2023-04-24
Pricing of Securities · Quantitative Finance
On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models
Eric Ghysels, Jack Morgan
2025-08-26
Computational Finance · Quantitative Finance
Efficient Pricing and Calibration of High-Dimensional Basket Options
Lech A. Grzelak, Juliusz Jablecki, Dariusz Gatarek
2022-06-22
Quantum Physics · Physics
Quadratic Continuous Quantum Optimization
Sascha Mücke, Thore Gerlach, Nico Piatkowski
2026-01-01
Quantum Physics · Physics
Diversifying Investments and Maximizing Sharpe Ratio: a novel QUBO formulation
Mirko Mattesi, Luca Asproni, Christian Mattia, Simone Tufano +3
2024-02-23
Mathematical Finance · Quantitative Finance
The Pricing of Quanto Options: An empirical copula approach
Rafael Felipe Carmargo Prudencio, Christian D. Jäkel
2021-03-02
Mathematical Finance · Quantitative Finance
Quantile hedging on markets with proportional transaction costs
Michał Barski
2016-01-14
Quantum Physics · Physics
PO-QA: A Framework for Portfolio Optimization using Quantum Algorithms
Kamila Zaman, Alberto Marchisio, Muhammad Kashif, Muhammad Shafique
2024-07-30
Quantum Physics · Physics
The Accuracy vs. Sampling Overhead Trade-off in Quantum Error Mitigation Using Monte Carlo-Based Channel Inversion
Yifeng Xiong, Soon Xin Ng, Lajos Hanzo
2022-01-21
Quantum Physics · Physics
Easing the Monte Carlo sign problem
Dominik Hangleiter, Ingo Roth, Daniel Nagaj, Jens Eisert
2020-08-19
Optimization and Control · Mathematics
Benchmarking of Quantum and Classical Computing in Large-Scale Dynamic Portfolio Optimization Under Market Frictions
Ying Chen, Thorsten Koch, Hanqiu Peng, Hongrui Zhang
2025-02-11
Portfolio Management · Quantitative Finance
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk, Thierry Roncalli
2022-02-23
Quantum Physics · Physics
Solving Currency Arbitrage Problems using D-Wave Advantage2 Quantum Annealer
Lorenzo Mazzei, Giada Beccari, Mirko Laruina, Marco Cococcioni
2025-09-29
Portfolio Management · Quantitative Finance
A Note on the Quantile Formulation
Zuo Quan Xu
2022-01-07
Condensed Matter · Physics
Tunneling problems by quantum Monte Carlo
Nikolai Prokof'ev, Boris Svistunov, Igor Tupitsyn
2007-05-23
Quantum Physics · Physics
Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
Jeong Yu Han, Bin Cheng, Dinh-Long Vu, Patrick Rebentrost
2025-04-03
Trading and Market Microstructure · Quantitative Finance
A Monte Carlo method for optimal portfolio executions
Nico Achtsis, Dirk Nuyens
2013-12-23