Efficient option risk measurement with reduced model risk

Sovan Mitra

Insurance: Mathematics and Economics, 2017, vol. 72, issue C, 163-174

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.

Keywords: Option risk; Model risk; Risk measurement; Liquidity risk; Option trading strategies (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174

DOI: 10.1016/j.insmatheco.2016.09.006

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