Sensitivity Analysis and Hedging in Stochastic String Models
Author:
Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-319-95285-7_9
Reference20 articles.
1. Asmussen, S., Jensen, J. L., & Rojas-Nandayapa, L. (2016). Exponential family techniques for the lognormal left tail. Scandinavian Journal of Statistics, 43(3), 774–787.
2. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654.
3. Bueno-Guerrero, A., Moreno, M., & Navas, J. F. (2015a). Stochastic string models with continuous semimartingales. Physica A: Statistical Mechanics and its Applications, 433(1), 229–246.
4. Bueno-Guerrero, A., Moreno, M., & Navas, J. F. (2015b). Valuation of caps and swaptions under a stochastic string model. Working paper available online at http://ssrn.com/abstract=2438678 .
5. Bueno-Guerrero, A., Moreno, M., & Navas, J. F. (2015c). Bond market completeness under stochastic strings with distribution-valued strategies. Working paper available online at http://ssrn.com/abstract=2598403 .
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