Risk-neutral hedging of interest rate derivatives
In this paper we review the hedging of interest rate derivatives priced under the risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark–Ocone formula.
| मुख्य लेखकों: | , |
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| अन्य लेखक: | |
| स्वरूप: | Journal Article |
| भाषा: | English |
| प्रकाशित: |
2013
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| विषय: | |
| ऑनलाइन पहुंच: | https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 |