Template-Type:ReDIF-Paper 1.0  
Title:A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk
Author-Name:Frey, Rüdiger  
Author-Name: Daniel Sommer
Classification-JEL:G12, G13, G15
Keywords:Arbitrage, interest rate risk, exchange rate risk, option pricing, hedging 
Abstract:We deal with the valuration and hedging of non path-dependent European options on one or several
	underlyings in a model of an international economy which allows for both interest rate and exchange rate risk.
	Using martingale theory we provide a unified and easily applicable approach to pricing and hedging Black-Scholes
	type options on stocks, bonds, forwards. futures and exchange rates. We also cover the pricing and hedging of
	options to exchange two Black-Scholes type options for one another. The contigent claims may pay off in arbitrary
	currencies. 
Length: pages
Creation-Date: 1995
Revision-Date: 1996-06
Handle: RePEc:bon:bonsfb:306
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb306.pdf
File-Format: application/pdf
File-Size: 302285 bytes