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Abstract: We deal with the valuation and hedging of non path-dependent European options on one or several underlyings in a model of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards, futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for one another.... (Update)
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BibTeX entry: (Update)
@misc{ to-discussion,
author = "Systematic Approach To",
title = "Discussion Paper No. B--306",
url = "citeseer.ist.psu.edu/697494.html" }
Citations (may not include all citations):294 Brownian Motion and Stochastic Calculus (context) - Karatzas, Shreve - 1988
17 The Value of an Option to Exchange one Asset for Another (context) - Margrabe - 1978
14 Options on the Maximum or the Minimum of Several Assets (context) - Johnson - 1987
7 Options on the Minimum or the Maximum of Two Risky Assets: A.. (context) - Stulz - 1982
3 Pricing and Hedging International Equity Derivatives (context) - Kat, Roozen - 1994
2 University of California at Berkeley (context) - Rubinstein, Sep - 1990
1 Differential Swaps and Ratios (context) - Jamshidian - 1994
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