Quanto Options : Correlation Risk
1. Context
In this short video from FRM Part 2 curriculum, we explore what quanto options are, their payoff and mechanics and their sensitivity (risk) with respect to fx-equity correlation. The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | Some Correlation Basics: Properties, Motivation, Terminology |
| Reference | Gunter Meissner, Chapter 1. Some Correlation Basics: Properties, Motivation, Terminology In Correlation Risk Modeling and Management, (New York: John Wiley & Sons, 2014). |