Risk-neutral hedging of interest rate derivatives
نویسندگان
چکیده
In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.
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ورودعنوان ژورنال:
- Risk and Decision Analysis
دوره 3 شماره
صفحات -
تاریخ انتشار 2012