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Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

process. The paper also checks the hypothesis of frictionless cross-market hedging, which implies perfectly correlated …

Persistent link: https://www.econbiz.de/10011441709

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

Persistent link: https://www.econbiz.de/10011302131

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001

densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …

Persistent link: https://www.econbiz.de/10011313921

Pricing and hedging guaranteed annuity options via static option replication

Pelsser, Antoon André Jean - 2002 - This version: 12-Mar-2002 13:27

In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...

Persistent link: https://www.econbiz.de/10011326973