Model misspecification analysis for bond options and Markovian hedging strategies
Mireille Bossy; Rajna Gibson; Francois-Serge Lhabitant; Nathalie Pistre; Denis Talay
| Year of publication: |
2006
|
|---|---|
| Authors: | Bossy, Mireille ; Gibson, Rajna ; Lhabitant, François-Serge ; Pistre, Nathalie ; Talay, Denis |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 9.2006, 2, p. 109-135
|
| Subject: | Hedging | Portfolio-Management | Portfolio selection | Modellierung | Scientific modelling | Zero-Bond | Zero-coupon bond | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Theorie | Theory |
| 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://ebvufind01.dmz1.zbw.eu/10003608131