On the Pricing and Hedging of Long Dated Zero Coupon Bonds
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More about this item
Keywordsgrowth optimal portfolio; benckmark approach; real world pricing; expected utility maximization; utility indifference pricing; long dated zero coupon bonds; minimal market model;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-14 (All new papers)
- NEP-FIN-2006-10-14 (Finance)
- NEP-FMK-2006-10-14 (Financial Markets)
- NEP-UPT-2006-10-14 (Utility Models & Prospect Theory)
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