On mean-variance hedging of bond options with stochastic risk premium factor
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Publication:481005
DOI10.1007/S00245-014-9248-2zbMath1303.91164OpenAlexW2084143542MaRDI QIDQ481005
Shin Ichi Aihara, Arunabha Bagchi, Suresh K. 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
Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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