Pricing and hedging GDP-linked bonds in incomplete markets
Year of publication: |
March 2018
|
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Authors: | Consiglio, Andrea ; Zenios, Stauros Andrea |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 88.2018, p. 137-155
|
Subject: | Contingent bonds | Debt restructuring | Asset pricing | Incomplete markets | Risk premium | Stochastic programming | Super-replication | Unvollkommener Markt | Incomplete market | Risikoprämie | Hedging | CAPM | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market |
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