Efficient option risk measurement with reduced model risk

DOI10.1016/J.INSMATHECO.2016.09.006zbMath1394.91334OpenAlexW2559645842MaRDI QIDQ506084

Sovan Mitra

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://westminsterresearch.westminster.ac.uk/download/9ea66682dfce1888f7ef3ebdd05d823ac5a55664ec0df4fd58ff4678c70b6f16/667632/optionriskpaperLivElemAAM.pdf

zbMATH Keywords

model riskrisk measurementliquidity riskoption riskoption trading strategies

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

Pricing and hedging for correlation options with regime switching and common jump risk ⋮ The relative efficiency of option hedging strategies using the third-order stochastic dominance

Uses Software

• Dowd

Cites Work

• The Pricing of Options and Corporate Liabilities
• Measures of risk
• Some new classes of consistent risk measures
• Non-Linear Value-at-Risk *
• THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
• Arbitrage Theory in Continuous Time
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