Proposes separate and aggregated hedging strategies for cross-currency equity protection swaps, with Monte Carlo simulations and approximations for basket option pricing.
and Kılıc ¸man, A.: Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option.Advances in Difference Equations, 1–8, 2015
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Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps
Proposes separate and aggregated hedging strategies for cross-currency equity protection swaps, with Monte Carlo simulations and approximations for basket option pricing.