Hedging derivatives with model error

DOI10.1080/14697688.2011.564201zbMATH Open1279.91159OpenAlexW2148480270MaRDI QIDQ2869976FDOQ2869976

Authors: Robert A. Jarrow 

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.564201

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zbMATH Keywords

derivatives hedgingderivatives risk managementhedging errorshedging techniques

Mathematics Subject Classification ID

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

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (1)

• Model risk of contingent claims

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