Implications for hedging of the choice of driving process for one-factor Markov-functional models
Year of publication: |
2013
|
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Authors: | Kennedy, Joanne E. ; Pham, Duy |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 5, p. 1-51
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Subject: | One-dimensional swap Markov-functional model | Bermudan swaption | correlation | hedging | vega | gamma | parametrization by time and by expiry | Hedging | Swap | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
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IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS
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