Option-based risk management of a bond portfolio under regime switching interest rates
In the present paper, we assume an economy with regime switching short rates and show how the Value at Risk of a financial position on zero-coupon bonds, hedged by buying protective put options under budget constraints, can be minimized by selecting optimal (regime-dependent) strike prices. Copyright Springer-Verlag 2013
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Volume (Year): 36 (2013)
Issue (Month): 1 (May)
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References listed on IDEAS
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