It's your choice: a unified approach to chooser options

DOI10.1142/S0219024910005711MaRDI QIDQ3560085zbMATH OpenFDO

Authors Klaus Sandmann, Manuel Wittke

Publication date 19 May 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

exchange rate riskchange of numeraireinterest rate riskoption pricing and hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Option and Futures Evaluation With Deterministic Volatilities¹
• The pricing of options and corporate liabilities

Cited in

(5)

• Pricing and calibration of a chooser flexible cap
• American chooser options
• Chooser options on various underlying options
• SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION
• An actuarial approach to pricing of chooser options

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