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Can expected shortfall and Value-at-Risk be used to statically hedge options?

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  • Jonathan Wylie
  • Qiang Zhang
  • Tak Kuen Siu

Abstract

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Suggested Citation

  • Jonathan Wylie & Qiang Zhang & Tak Kuen Siu, 2010. "Can expected shortfall and Value-at-Risk be used to statically hedge options?," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 575-583.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:6:p:575-583
    DOI: 10.1080/14697680902956695
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    Cited by:

    1. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    2. Marek Capinski, 2019. "Non-traded call's volatility smiles," Papers 1903.07875, arXiv.org.
    3. Massimiliano Amarante, 2016. "A representation of risk measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 95-103, April.
    4. Noé Velázquez-Espinoza & Mónica Colin-Salgado & Octavio Hernández-Castorena, 2019. "Gestión y Finanzas para gerentes de proyectos," Books, Universidad Externado de Colombia, Facultad de Administración de Empresas, number 49, April.
    5. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.

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