C*******l
发帖数: 105 | 1 Let Xt denote the FX rate of USD/JPY, that is 1USD = Xt JPY.
Given prices of options with payoff max(Xt-K, 0) in JPY for any strike K,
derive the value of a contract that pays Xt but in USD.
我没怎么看明白题，好像是给了所有call option的价格，然后要求的那个东西是什么
？ | t*********r
发帖数: 11 | 2 quanto
【在 C*******l 的大作中提到】
: Let Xt denote the FX rate of USD/JPY, that is 1USD = Xt JPY.
: Given prices of options with payoff max(Xt-K, 0) in JPY for any strike K,
: derive the value of a contract that pays Xt but in USD.
: 我没怎么看明白题，好像是给了所有call option的价格，然后要求的那个东西是什么
: ？
| C*******l
发帖数: 105 | | a*******x
发帖数: 1 | 4 The payoff in JPY is Xt*Xt.
The remaining question is standard, i.e., how to get pdf from call price and
how to integrate pdf together with payoff. |
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