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
Online-Zugang:	Volltext
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