Abstract
In this section we provide some more detail on the derivation of the stochastic inflation-indexed bond price in the Dodgson-Kainth model under the LGM measure:
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© 2015 Roland Lichters, Roland Stamm, Donal Gallagher
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Lichters, R., Stamm, R., Gallagher, D. (2015). Dodgson-Kainth Model. In: Modern Derivatives Pricing and Credit Exposure Analysis. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137494849_31
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DOI: https://doi.org/10.1057/9781137494849_31
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-49483-2
Online ISBN: 978-1-137-49484-9
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