A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
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Publication:4541534
DOI10.1080/13504869600000014zbMath1097.91522OpenAlexW1991254117MaRDI QIDQ4541534
Publication date: 4 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869600000014
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Cites Work
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- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Option and Futures Evaluation With Deterministic Volatilities1
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- Changes of numéraire, changes of probability measure and option pricing
- Hedging quantos, differential swaps and ratios
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