Risk Exposure Valuation Using Measure Distortions: An Overview

D. B. Madan

Chapter 22 in Options — 45 Years since the Publication of the Black–Scholes–Merton Model:The Gershon Fintech Center Conference, 2023, pp 469-482 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionIssues with the Law of One PriceThe Two Price FrameworkConservative Valuation and Distorted ExpectationsRisk as Exposure and Its ValuationApplicationsConclusionReferences

Keywords: Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option (search for similar items in EconPapers)
JEL-codes: C C02 G1 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
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