Pricing and hedging GDP-linked bonds in incomplete markets

DOI10.1016/J.JEDC.2018.01.001zbMath1401.91529OpenAlexW2612542360MaRDI QIDQ1657210

Andrea Consiglio, Stavros A. Zenios

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10447/271797

zbMATH Keywords

stochastic programmingasset pricingincomplete marketssuper-replicationrisk premiumcontingent bondsdebt restructuring

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Improving sovereign debt restructurings ⋮ PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT

Cites Work

• Duality and martingales: a stochastic programming perspective on contingent claims
• CALIBRATED OPTION BOUNDS
• A parsimonious model for generating arbitrage-free scenario trees

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