Model misspecification analysis for bond options and Markovian hedging strategies

DOI10.1007/S11147-007-9006-6MaRDI QIDQ2462883zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingterm structure of interest ratesmodel risk

Mathematics Subject Classification ID

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

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Cites work

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• An equilibrium characterization of the term structure
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Discrete time hedging errors for options with irregular payoffs
• ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Modeling the term structure of interest rates: a review of the literature
• On the discretization schemes for the CIR (and Bessel squared) processes

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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