Pricing and hedging problem of foreign currency option with higher borrowing rate

DOI10.1007/S11424-013-1018-8zbMATH Open1278.91130OpenAlexW2062962229MaRDI QIDQ394479FDOQ394479

Authors: Zongyuan Huang, Zhen Wu, Li Chen 

Publication date: 27 January 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-013-1018-8

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zbMATH Keywords

Malliavin calculusbackward stochastic differential equationpricingportfolio strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• The pricing of options and corporate liabilities
• Backward Stochastic Differential Equations in Finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Adapted solution of a backward stochastic differential equation

Cited In (4)

• Title not available (Why is that?)
• Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
• On the hedging of options on exploding exchange rates
• Pricing of foreign currency deposit products linked with exchange rate

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