Managing value-at-risk for a bond using bond put options (Q2642582)
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scientific article; zbMATH DE number 5179975
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Managing value-at-risk for a bond using bond put options |
scientific article; zbMATH DE number 5179975 |
Statements
Managing value-at-risk for a bond using bond put options (English)
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17 August 2007
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Value-at-Risk
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Bond hedging
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Vasicek interest rate model
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0.8656151294708252
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0.8266836404800415
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0.7783141136169434
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0.7521145343780518
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0.7402811050415039
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