Model misspecification analysis for bond options and Markovian hedging strategies

DOI10.1007/S11147-007-9006-6zbMATH Open1274.91402OpenAlexW1993865870MaRDI QIDQ2462883FDOQ2462883

Authors: Mireille Bossy, Rajna Gibson, Francois-Serge Lhabitant, Nathalie Pistre, Denis Talay 

Publication date: 5 December 2007

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/156358/1/ZORA_NL_156358.pdf

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zbMATH Keywords

option pricingterm structure of interest ratesmodel risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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Cited In (2)

• Tractable hedging with additional hedge instruments
• Pricing and Hedging Discount Bond Options in the Presence of Model Risk *

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