Hedging quantos, differential swaps and ratios

Farshid Jamshidian

Applied Mathematical Finance, 1994, vol. 1, issue 1, 1-20

Abstract: From first principles, using general no-arbitrage arguments across international markets, differential swaps and a variety of quanto options and futures are evaluated and replicated in closed form by explicit construction of their hedge portfolios, under the assumption of deterministic instantaneous covariances.

Keywords: international trading strategies; cross-market hedging; pricing; replication; product and division rules; deterministic covariance (search for similar items in EconPapers)
Date: 1994
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DOI: 10.1080/13504869400000001

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