Hedging quantos, differential swaps and ratios

From first principles, using general no-arbitrage arguments across international markets, differential swaps and a variety of quanto options and futures are evaluated and replicated in closed form by explicit construction of their hedge portfolios, under the assumption of deterministic instantaneous covariances.

MoreLess

Year of publication:	1994
Authors:	Jamshidian, Farshid
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 1.1994, 1, p. 1-20
Publisher:	Taylor & Francis Journals
Subject:	international trading strategies \| cross-market hedging \| pricing \| replication \| product and division rules \| deterministic covariance

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009279115