Efficient option risk measurement with reduced model risk
Sovan Mitra
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Mitra, Sovan |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 163-174
|
| Subject: | Option risk | Model risk | Risk measurement | Liquidity risk | Option trading strategies | Risiko | Risk | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Messung | Measurement | Bankrisiko | Bank risk | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011694422