A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

Applied Mathematical Finance

Volumn 3, Issue 4, 1996, Pages 295-317

  Frey, Rüdiger ^a   Sommer, Daniel ^b  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

change of numeraire; exchange rate risk; interest rate risk; option pricing and hedging

Indexed keywords

EID: 0040738462     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504869600000014     Document Type: Article

References (23)

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