OPTION BETAS: RISK MEASURES FOR OPTIONS

DOI10.1142/S0219024907004585MaRDI QIDQ3498239zbMATH OpenOpenAlexFDO

Authors Nicole Branger, Christian Schlag

Publication date 28 May 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024907004585

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The risk of Black-Scholes option pricing
• Calibration of Stock Betas from Skews of Implied Volatilities
• Measuring Systematic Risk Using Implicit Beta
• scientific article; zbMATH DE number 1094764
• Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?

Cites work

• The pricing of options and corporate liabilities

Cited in

(4)

• scientific article; zbMATH DE number 1094764 (Why is no real title available?)
• Alternative to beta coefficients in the context of diffusions
• Measuring Systematic Risk Using Implicit Beta
• Performance measurement for option portfolios in a stochastic volatility framework

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