Valuation and hedging of contingent claims in the HJM model with deterministic volatilities (Q4342181)
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scientific article; zbMATH DE number 1028954
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| English | Valuation and hedging of contingent claims in the HJM model with deterministic volatilities |
scientific article; zbMATH DE number 1028954 |
Statements
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities (English)
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25 January 1998
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term structure of interest rates
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bond option
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interest rate derivatives
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arbitrage pricing
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hedging
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European contingent claims
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0.7958948612213135
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0.7768619656562805
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0.776118814945221
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