Implications for hedging of the choice of driving process for one-factor Markov-functional models
Joanne E. Kennedy and Duy Pham
| Year of publication: |
2013
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|---|---|
| Authors: | Kennedy, Joanne E. ; Pham, Duy |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 5, p. 1-51
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| Subject: | One-dimensional swap Markov-functional model | Bermudan swaption | correlation | hedging | vega | gamma | parametrization by time and by expiry | Hedging | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Korrelation | Correlation | Zinsderivat | Interest rate derivative | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009783994