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Model misspecification analysis for bond options and Markovian hedging strategies

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Author Info
Mireille Bossy
Rajna Gibson ()
Francois-Serge Lhabitant
Nathalie Pistre
Denis Talay
Abstract

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s11147-007-9006-6
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Publisher Info
Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 9 (2006)
Issue (Month): 2 (September)
Pages: 109-135
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Handle: RePEc:kap:revdev:v:9:y:2006:i:2:p:109-135

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Web page: http://www.springerlink.com/link.asp?id=102989

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Option pricing Term structure of interest rates Model risk G13

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This page was last updated on 2008-7-28.

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