Option-implied objective measures of market risk with leverage

DOI10.1007/978-3-319-66536-8_7MaRDI QIDQ1622630zbMATH OpenOpenAlexFDO

Authors Matthias Leiss, Heinrich H. Nax

Publication date 19 November 2018

Full work available at URL https://doi.org/10.1007/978-3-319-66536-8_7

zbMATH Keywords

leverageFoster-Hartobjective riskrisk-neutral densities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• Implied liquidity risk premia in option markets
• Foster-Hart optimization for currency portfolios

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