We would like to thank the editor of this journal, Robert I. Webb, and an anonymous referee for their very useful comments and suggestions. The remaining errors are solely ours. *Correspondence author, Department of Money and Banking, National Chengchi University, No. 64, Section 2, ZhiNan Road, Wenshan District, Taipei City 11605, Taiwan. Tel: +886-2-2939-3091x81251, Fax: +886-2-2939-8004, e-mail: liaosl@nccu.edu.tw Received September 2007; Accepted December 2008 ■ Szu-Lang Liao is a Professor at the Department of Money and Banking, National Chengchi University, Taipei City, Taiwan. ■ Pao-Peng Hsu is a Ph.D. Candidate at the Department of Money and Banking, National Chengchi University, Taipei City, Taiwan, and an Adjunct Researcher at the Polaris Research Institute, Taipei City, Taiwan. The Journal of Futures Markets, Vol. 29, No. 10, 973–998 (2009) © 2009 Wiley Periodicals, Inc. Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/fut.20396 PRICING AND HEDGING OF QUANTO RANGE ACCRUAL NOTES UNDER GAUSSIAN HJM WITH CROSS-CURRENCY LEVY PROCESSES SZU-LANG LIAO* PAO-PENG HSU This study analyzes the pricing and hedging problems for quanto range accrual notes (RANs) under the Heath-Jarrow-Morton (HJM) framework with Levy processes for instantaneous domestic and foreign forward interest rates. We con- sider the effects of jump risk on both interest rates and exchange rates in the pricing of the notes. We first derive the pricing formula for quanto double interest rate digital options and quanto contingent payoff options; then we apply the method proposed by Turnbull ( Journal of Derivatives, 1995, 3, 92–101) to repli- cate the quanto RAN by a combination of the quanto double interest rate digital options and the quanto contingent payoff options. Using the pricing formulas derived in this study, we obtain the hedging position for each issue of quanto