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Prices and hedge ratios of average exchange rate options

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  • Vorst, Ton

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 1 (1992)
Issue (Month): 3 ()
Pages: 179-193

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Handle: RePEc:eee:finana:v:1:y:1992:i:3:p:179-193

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Web page: http://www.elsevier.com/locate/inca/620166

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Cited by:
  1. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra.
  2. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  3. J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 21(1), pages 65-102, June.
  4. E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics.
  5. Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
  6. Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
  7. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.
  8. Carlos Veiga & Uwe Wystup & Manuel Esquível, 2012. "Unifying exotic option closed formulas," Review of Derivatives Research, Springer, vol. 15(2), pages 99-128, July.
  9. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany.
  10. Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A., 2008. "Analytic bounds and approximations for annuities and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1109-1117, June.
  11. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
  12. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.

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