An Examination of the Effects of Parameter Misspecification
Year of publication: |
2002
|
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Authors: | Dudenhausen, Antje ; Schlögl, Lutz |
Publisher: |
Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE) |
Subject: | Optionspreistheorie | Hedging | Strategie | Modell-Spezifikation | Theorie | Model misspecification | duplication of bonds | volatility mismatch | optimal selection of hedging instruments |
Series: | Bonn Econ Discussion Papers ; 22/2002 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 374137129 [GVK] hdl:10419/22843 [Handle] RePEc:zbw:bonedp:222002 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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