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

@ARTICLE{Frey1996,
title = {A Systematic Approach to Pricing and Hedging of International Derivatives with Interest Rate Risk},
author = {Rüdiger Frey and Daniel Sommer},
year = {1996},
url = {http://www.math.uni-leipzig.de/~frey/frey-sommer-interest-rates.pdf},
volume = {3},
language = {EN},
pages = {295-317},
journal = {Applied Mathematical Finance},
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.},
}