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

DOI10.1007/S11424-013-1018-8MaRDI QIDQ394479zbMATHOpenAlexFDO

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

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)

Recommendations

• European barrier option pricing formulas of uncertain currency model
• Publication:5455634
• Publication:4437205
• Pricing of foreign currency deposit products linked with exchange rate
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models

Cites work

• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• The pricing of options and corporate liabilities

Cited in

(4)

• scientific article; zbMATH DE number 7333662 (Why is no real title available?)
• 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

This page was built for publication: Pricing and hedging problem of foreign currency option with higher borrowing rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q394479)