We deal with the valuration 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...

The paper deals 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. The contingent claims may pay off in arbitrary currencies. Using martingale...