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.
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| Main Authors: | , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
2013
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 |
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