Hedging derivatives with model error

DOI10.1080/14697688.2011.564201zbMath1279.91159OpenAlexW2148480270MaRDI QIDQ2869976

Robert A. Jarrow

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.564201

zbMATH Keywords

derivatives hedgingderivatives risk managementhedging errorshedging techniques

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Model risk of contingent claims

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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