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cross-market hedging 1 deterministic covariance 1 international trading strategies 1 pricing 1 product and division rules 1 replication 1
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Jamshidian, Farshid 1
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Applied Mathematical Finance 1
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Hedging quantos, differential swaps and ratios
Jamshidian, Farshid - In: Applied Mathematical Finance 1 (1994) 1, pp. 1-20
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...
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