منابع مشابه
Hedging of Options in Jump-Diffusion Markets with Correlated Assets
We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
متن کاملOn the hedging of options on exploding exchange rates
We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a change of numéraire (change of currency) technique when the underlying is only a local martingale ...
متن کاملInternational Diversification When Equity Returns and Exchange Rates Are Correlated
In this paper we investigate the diversification effects when stock market returns are c orrelated with foreign exchange rates. We first show that when equity markets and cu rrency market are correlated, even an identical equally weighted portfolio using equiti es from two countries will yield different diversification effects depending on which c ountry’s currency the returns are measured. We ...
متن کاملHedging bets with correlated quantum strategies
This paper studies correlations among independently administered hypothetical tests of a simple interactive type, and demonstrates that correlations arising in quantum information theoretic variants of these tests can exhibit a striking non-classical behavior. When viewed in a game-theoretic setting, these correlations are suggestive of a perfect form of hedging, where the risk of a loss in one...
متن کاملExchange rates and investment good prices: A cross-industry comparison
This paper presents estimates of the impact of exchange rate movements on the industry-level price of investment goods using a panel of OECD countries. An exchange rate depreciation (appreciation) causes a significant rise (fall) in the prices of the investment goods used by most industries, but the magnitude of this effect differs greatly across sectors. A currency depreciation causes a strong...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1941624