Bond options and bond portfolio insurance

DOI10.1016/0167-6687(91)90050-8zbMath0739.90004OpenAlexW2010052362MaRDI QIDQ1182784

Piet Sercu

Publication date: 28 June 1992

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(91)90050-8

zbMATH Keywords

portfolio insurancebond price modelinginterest option pricinginterest risk management

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items

A survey of stochastic continuous time models of the term structure of interest rates

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Term structure of interest rates: The martingale approach
• `Finem Lauda' or the risks in swaps
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• An equilibrium characterization of the term structure
• Option pricing: A simplified approach