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

DOI10.1142/S0219024910005711zbMATH Open1203.91298MaRDI QIDQ3560085FDOQ3560085

Authors: Klaus Sandmann, Manuel Wittke 

Publication date: 19 May 2010

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

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zbMATH Keywords

exchange rate riskchange of numeraireinterest rate riskoption pricing and hedging

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• 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
• A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

Cited In (5)

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

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