Efficient option risk measurement with reduced model risk

DOI10.1016/J.INSMATHECO.2016.09.006zbMATH Open1394.91334OpenAlexW2559645842MaRDI QIDQ506084FDOQ506084

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Elements of financial risk management. With CD-ROM.
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Measures of risk
• Non-Linear Value-at-Risk *
• Some new classes of consistent risk measures
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian approach to measuring parameter and model risk in loss ratio estimation
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs

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

Uses Software

• Dowd

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