SANDMANN, KLAUS; WITTKE, MANUEL - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 139-161
We propose a unified framework for the pricing and hedging of chooser options on lognormal assets. This includes e.g. exchange or inflation rates under stochastic interest rates or equities under stochastic interest rates and dividend yields. This extends and includes chooser options under...