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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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