Portfolio Insurance and Bond Management in a Vasicek ' s Term Structure of Interest Rates

@inproceedings{Soares1998PortfolioIA,
  title={Portfolio Insurance and Bond Management in a Vasicek ' s Term Structure of Interest Rates},
  author={Jos{\'e} Alberto Soares and Da Fonseca and ESTUDOS DO GEMF and Jose A. S. Fonseca},
  year={1998}
}
Portfolio Insurance is a technique which aims to ensure a minimum value to a portfolio through the replication of a put option. The use of this technique to bond management has not been object of significant interest by the related literature due to the difficulty in obtaining closed form solutions for bond option pricing. In this research we demonstrate that portfolio insurance technique can be used as a bond management strategy, using a bond option pricing formula based on Vasicek model for… CONTINUE READING

References

Publications referenced by this paper.
SHOWING 1-6 OF 6 REFERENCES

L'assurance de Portefeuille", Revue d'Analyse Financière

GALLAIS-HAMONNO, J. BERTHON
  • 1989
VIEW 1 EXCERPT

The Pricing of Options and Corporate Liabilities "

M. SCHOLES
  • Journal of Political Economy
  • 1973
VIEW 1 EXCERPT