Managing value-at-risk for a bond using bond put options
| Year of publication: |
2007
|
|---|---|
| Authors: | Deelstra, Griselda ; Ezzine, Ahmed ; Heyman, Dries ; Vanmaele, Michèle |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 29.2007, 2, p. 139-149
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Value-at-Risk | Bond hedging | Vasicek interest rate model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005674173