On mean-variance hedging of bond options with stochastic risk premium factor

DOI10.1007/S00245-014-9248-2zbMATH Open1303.91164OpenAlexW2084143542MaRDI QIDQ481005FDOQ481005

Authors: Shin Ichi Aihara, Arunabha Bagchi, Suresh Kumar 

Publication date: 12 December 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9248-2

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zbMATH Keywords

Kalman filtermean-variance hedgingindifference priceinfinite-dimensional HMJstochastic risk premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Financial Modelling with Jump Processes
• Stochastic Equations in Infinite Dimensions
• Title not available (Why is that?)
• Title not available (Why is that?)
• A comparison of two quadratic approaches to hedging in incomplete markets
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• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Dynamic programming and mean-variance hedging
• Bond market completeness and attainable contingent claims
• On incompleteness of bond markets with infinite number of random factors
• Mean-Variance Hedging Under Partial Information
• MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES

Cited In (7)

• Hedging interest rate risk by optimization in Banach spaces
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• Pricing and Hedging Discount Bond Options in the Presence of Model Risk *
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• The mean-variance hedging in a bond market with jumps
• Mean-variance hedging for interest rate models with stochastic volatility.
• DUAL ANALYSIS ON HEDGING VaR OF BOND PORTFOLIO USING OPTIONS

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