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Efficient option risk measurement with reduced model risk

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  • Mitra, Sovan

Abstract

Options require risk measurement that is also computationally efficient as it is important to derivatives risk management. There are currently few methods that are specifically adapted for efficient option risk measurement. Moreover, current methods rely on series approximations and incur significant model risks, which inhibit their applicability for risk management.

Suggested Citation

  • Mitra, Sovan, 2017. "Efficient option risk measurement with reduced model risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 163-174.
    • Handle: RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174
    DOI: 10.1016/j.insmatheco.2016.09.006
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    References listed on IDEAS

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    Cited by:

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    2. Chunyi Lu & Zhuoqi Teng & Yu Gao & Renhong Wu & Md. Alamgir Hossain & Yuantao Fang, 2022. "Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1501-1524, April.

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