On mean-variance hedging of bond options with stochastic risk premium factor (Q481005)
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scientific article; zbMATH DE number 6379703
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| English | On mean-variance hedging of bond options with stochastic risk premium factor |
scientific article; zbMATH DE number 6379703 |
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On mean-variance hedging of bond options with stochastic risk premium factor (English)
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12 December 2014
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mean-variance hedging
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indifference price
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Kalman filter
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infinite-dimensional HMJ
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stochastic risk premium
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0.825125515460968
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0.8122103214263916
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0.7934386134147644
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0.7862014770507812
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