Model misspecification analysis for bond options and Markovian hedging strategies

Mireille Bossy, Rajna Gibson (), Francois-Serge Lhabitant, Nathalie Pistre and Denis Talay

Review of Derivatives Research, 2006, vol. 9, issue 2, 109-135

Keywords: Option pricing; Term structure of interest rates; Model risk; G13 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11147-007-9006-6

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