Maximizing the probability of a perfect hedge in the case of stochastic interest rate (Q3104339)
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scientific article; zbMATH DE number 5990024
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| English | Maximizing the probability of a perfect hedge in the case of stochastic interest rate |
scientific article; zbMATH DE number 5990024 |
Statements
Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate (English)
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19 December 2011
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quantile hedging
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geometric Brownian motion
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stochastic interest rate
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duality approach
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Vasicek model
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Cameron-Martin formula
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time-changing for martingales
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inverse Laplace transform
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0.802526593208313
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0.7544965147972107
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0.7544583678245544
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0.7394790649414062
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