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On Mean-Variance Hedging of Bond Options with Stochastic Risk Premium Factor
DSpace at IIT Bombay
View Archive Info| Field | Value | |
| Title |
On Mean-Variance Hedging of Bond Options with Stochastic Risk Premium Factor
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| Creator |
AIHARA, SI
BAGCHI, A KUMAR, SK |
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| Subject |
Mean-variance hedging
Indifference price Kalman filter Infinite-dimensional HMJ Stochastic risk premium INFORMATION RATES |
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| Description |
We consider the mean-variance hedging problem for pricing bond options using the yield curve as the observation. The model considered contains infinite-dimensional noise sources with the stochastically- varying risk premium. Hence our model is incomplete. We consider mean-variance hedging under the real world measure and obtain an explicit form of the optimal hedging strategy.
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| Publisher |
SPRINGER
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| Date |
2014-12-28T11:45:28Z
2014-12-28T11:45:28Z 2014 |
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| Type |
Article
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| Identifier |
APPLIED MATHEMATICS AND OPTIMIZATION, 70(3)511-537
0095-4616 1432-0606 http://dx.doi.org/10.1007/s00245-014-9248-2 http://dspace.library.iitb.ac.in/jspui/handle/100/16393 |
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| Language |
English
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