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The cost of using misspecified models to exercise and hedge American options on coupon bearing bonds
This dissertation investigates the cost of using single-factor models to exercise and hedge American options on South African coupon bearing bonds, when the simulated market term structure is driven by a two-factor model. Even if the single factor models are re-calibrated on a daily basis to the ter...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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