Model misspecification analysis for bond options and Markovian hedging strategies
| Year of publication: |
2006
|
|---|---|
| Authors: | Bossy, Mireille ; Gibson, Rajna ; Lhabitant, Francois-Serge ; Pistre, Nathalie ; Talay, Denis |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 9.2006, 2, p. 109-135
|
| Publisher: |
Springer |
| Subject: | Option pricing | Term structure of interest rates | Model risk |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005709848