Open AccessHedging Futures Options with Stochastic Interest Rates
Author(s) -
Benjamin Cheng,
Christina Sklibosios Nikitopoulos,
Erik Schlögl
Publication year - 2016
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2840635
Subject(s) - futures contract , interest rate , hedge , spot contract , maturity (psychological) , interest rate risk , econometrics , economics , financial economics , bond , forward rate , volatility (finance) , interest rate derivative , forward market , asset (computer security) , rendleman–bartter model , actuarial science , monetary economics , computer science , finance , psychology , ecology , developmental psychology , computer security , biology
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