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.
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 |