On the hedging of options on exploding exchange rates

DOI10.1007/s00780-013-0218-3zbMath1314.91205arXiv1202.6188OpenAlexW2110431828MaRDI QIDQ471173

Peter Carr, Johannes Ruf, Travis C. Fisher

Publication date: 14 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.6188

zbMATH Keywords

put-call paritychange of measureforeign exchangeFöllmer measurestrict local martingalespricing operator

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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