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Efficient option risk measurement with reduced model risk

Listed author(s):
  • Mitra, Sovan
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167668715301177
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 72 (2017)
    Issue (Month): C ()
    Pages: 163-174

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    Handle: RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174
    DOI: 10.1016/j.insmatheco.2016.09.006
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    11. Hato Schmeiser, 2012. "The risk of model misspecification and its impact on solvency measurement in the insurance sector," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 285-308, August.
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