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Bias Correction for Bond Option Greeks via Jackknife

Jinyu Zhang, Kang Gao and Yong Li
The Journal of Derivatives Fall 2021, jod.2021.1.129; DOI: https://doi.org/10.3905/jod.2021.1.129
Jinyu Zhang
is an assistant professor in the School of Finance at Nanjing Audit University in Nanjing, China
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Kang Gao
is a staff member in the The People’s Bank of China in Beijing, China
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Yong Li
is a professor in the School of Economics at Renmin University of China in Beijing, China and the corresponding author
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The Journal of Derivatives: 28 (3)
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
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Bias Correction for Bond Option Greeks via Jackknife
Jinyu Zhang, Kang Gao, Yong Li
The Journal of Derivatives Mar 2021, jod.2021.1.129; DOI: 10.3905/jod.2021.1.129

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Bias Correction for Bond Option Greeks via Jackknife
Jinyu Zhang, Kang Gao, Yong Li
The Journal of Derivatives Mar 2021, jod.2021.1.129; DOI: 10.3905/jod.2021.1.129
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  • Article
    • Abstract
    • JACKKNIFE METHOD FOR BIAS REDUCTION IN CONTINUOUS TIME MODELS
    • SIMULATION STUDIES
    • EMPIRICAL APPLICATIONS
    • CONCLUSION
    • ACKNOWLEDGEMENTS
    • REFERENCES
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