Efficient option risk measurement with reduced model risk

DOI10.1016/J.INSMATHECO.2016.09.006MaRDI QIDQ506084zbMATH OpenOpenAlexFDO

Authors 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

risk measurementliquidity riskmodel riskoption riskoption trading strategies

Mathematics Subject Classification ID

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

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• Efficient hedging of path-dependent options
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• Reduced basis methods for pricing options with the Black-Scholes and Heston models

Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Bayesian approach to measuring parameter and model risk in loss ratio estimation
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
• Elements of financial risk management. With CD-ROM.
• Measures of risk
• Non-Linear Value-at-Risk *
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Some new classes of consistent risk measures
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• The pricing of options and corporate liabilities

Cited in

(3)

• 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
• Computation of market risk measures with stochastic liquidity horizon

Describes a project that uses

Uses Software

• Dowd

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