Pricing and hedging GDP-linked bonds in incomplete markets
Andrea Consiglio, Stavros A. Zenios
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Consiglio, Andrea ; Zenios, Stauros Andrea |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 88.2018, p. 137-155
|
| Subject: | Contingent bonds | Debt restructuring | Asset pricing | Incomplete markets | Risk premium | Stochastic programming | Super-replication | Unvollkommener Markt | Incomplete market | Risikoprämie | Hedging | Anleihe | Bond | CAPM | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2018.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011973933