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.

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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

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

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