Creating and Pricing Hybrid Foreign Currency Options

Creating and Pricing Hybrid Foreign Currency Options

The hybrid foreign options are based on some use of the put/call parity relation. Currency risk management has thus become a delicate compromise between flexibility, protection, and cost. This article sheds some additional light on the design, pricing, and hedgeability (from the bank's point of...

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Veröffentlicht in:Financial management 1988-12, Vol.17 (4), p.59-65
Hauptverfasser: Briys, Eric, Crouhy, Michel
Format: Artikel
Sprache:eng
Schlagworte:
A Special Issue on Financial Engineering
Currency
Currency options
Financial instruments
Foreign exchange rates
Forward contracts
Hedging
Insurance deductibles
Mathematical analysis
Maturity dates
Options markets
Price premiums
Pricing
Put & call options
Strike prices
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Beschreibung
Zusammenfassung:The hybrid foreign options are based on some use of the put/call parity relation. Currency risk management has thus become a delicate compromise between flexibility, protection, and cost. This article sheds some additional light on the design, pricing, and hedgeability (from the bank's point of view) of hybrid foreign currency options.
ISSN:0046-3892
1755-053X
DOI:10.2307/3665767