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We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replication portfolio needs to be updated continuously through time as the mar
Externí odkaz:
http://arxiv.org/abs/2202.01027
Autor:
Hoencamp, Jori1 (AUTHOR) b.d.kandhai@uva.nl, Jain, Shashi2 (AUTHOR) shashijain@iisc.ac.in, Kandhai, Drona1 (AUTHOR)
Publikováno v:
Risks. Oct2023, Vol. 11 Issue 10, p168. 41p.
