Similar Search Results - EconBiz

A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk

Frey, Rüdiger; Sommer, Daniel - 1996

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...

Persistent link: https://www.econbiz.de/10005841374

A systematic approach to pricing and hedging international derivatives with interest rate risk : analysis of international derivatives under stochastic interest rates

Frey, Rüdiger - In: Applied mathematical finance 3 (1996) 4, pp. 295-317

Persistent link: https://www.econbiz.de/10001217786

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000946123

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908122

A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk

Frey, Rüdiger; Sommer, Daniel - University of Bonn, Germany - 1995

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...

Persistent link: https://www.econbiz.de/10004968300

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger; Sommer, Daniel - 1995

Persistent link: https://www.econbiz.de/10004249853

Continuous time limits in the generalized Ho/Lee framework under the risk-neutral- and forward-measures

Sommer, Daniel - 1994

Persistent link: https://www.econbiz.de/10000886970

Problemlösung oder riskantes Investment?

Sommer, Daniel - In: Die Bank (2014) 12, pp. 14-15

Persistent link: https://www.econbiz.de/10010437511

Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds

Sommer, Daniel - In: European financial management : the journal of the … 3 (1997) 3, pp. 269-292

Persistent link: https://www.econbiz.de/10001541513

Continuous-time limits in the generalized Ho-Lee framework under the forward measure

Sommer, Daniel - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000946114

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