Interest rate option hedging portfolios without bank account

Autor:	Alberto Bueno-Guerrero
Rok vydání:	2019
Předmět:	Bank account Bond String (computer science) Economics Barrier option Portfolio Interest rate option Malliavin calculus General Economics Econometrics and Finance Mathematical economics Zero (linguistics)
Zdroj:	Studies in Economics and Finance. 37:134-142
ISSN:	1086-7376
DOI:	10.1108/sef-02-2019-0058
Popis:	Purpose This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part. Design/methodology/approach Hedging and Malliavin calculus techniques recently developed under a stochastic string framework are applied. Findings A necessary and sufficient condition for the hedging portfolio to have no bank account part is found. This condition is applied to a barrier option, and an example of a contingent claim whose hedging portfolio has a bank account part different from zero is provided. Originality/value To the best of the authors’ knowledge, this is the first time that this issue has been addressed in the literature.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::772530ad883532679f001872f2f6f96a https://doi.org/10.1108/sef-02-2019-0058 Zobrazit plný text záznamu