The Minimum Variance Hedge Ratio Under Stochastic Interest Rates

DOI10.1287/mnsc.46.5.658.12045zbMath1231.91458OpenAlexW2134900760MaRDI QIDQ3116755

Abraham Lioui, Patrice Poncet

Publication date: 12 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.46.5.658.12045

zbMATH Keywords

stochastic interest rateshedge ratio

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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