What is the explicit formula for the price of a quanto which has a put payoff on
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What is the explicit formula for the price of a quanto which has a put payoff on the Nikkei Dow index with strike at E and which is paid in yen. S$ is the yen-dollar exchange rate and SN is the level of the Nikkei Dow index. We assume
dS$ = μ$S$ dt + σ$S$ dX$
and
dSN = μNSN dt + σNSN dXN,
with a correlation of ρ.
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