Quotation Frey, Rüdiger, Sommer, Daniel. 1996. A Systematic Approach to Pricing and Hedging of International Derivatives with Interest Rate Risk. Applied Mathematical Finance 3 295-317.


RIS


BibTeX

Abstract

The paper deals with the valuation and the hedging of non path-dependent European options on one or several underlying assets in a model of an international economy allowing for both, interest rate risk and exchange rate risk. Using martingale theory and in particular the change of numeraire technique we provide a unified and easily applicable approach to pricing and hedging exchange options on stocks, bonds, futures, interest rates and exchange rates. We also cover the pricing and hedging of compound exchange options.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Applied Mathematical Finance
WU-Journal-Rating new VW-D
Language English
Title A Systematic Approach to Pricing and Hedging of International Derivatives with Interest Rate Risk
Volume 3
Year 1996
Page from 295
Page to 317
URL http://www.math.uni-leipzig.de/~frey/frey-sommer-interest-rates.pdf

Associations

People
Frey, Rüdiger (Details)
External
Sommer, Daniel
Organization
Institute for Statistics and Mathematics IN (Details)
Google Scholar: Search