Hedging derivatives with model error

DOI10.1080/14697688.2011.564201MaRDI QIDQ2869976zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

derivatives hedgingderivatives risk managementhedging errorshedging techniques

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 1870350 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

Cited in

(2)

• Model risk of contingent claims
• Hedging derivatives on two assets with model risk

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