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Keywords: Malliavin calculus
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Journal Articles
Interest rate option hedging portfolios without bank account
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Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2020) 37 (1): 134–142.
Published: 27 September 2019
...Alberto Bueno-Guerrero Purpose This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part. Design/methodology/approach Hedging and Malliavin calculus techniques recently developed under a stochastic string framework...
