Option-implied objective measures of market risk with leverage

DOI10.1007/978-3-319-66536-8_7zbMath1417.91508OpenAlexW2603034491MaRDI QIDQ1622630

Heinrich H. Nax, Matthias Leiss

Publication date: 19 November 2018

Full work available at URL: https://doi.org/10.1007/978-3-319-66536-8_7

zbMATH Keywords

risk-neutral densitiesleverageFoster-Hartobjective risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Foster-Hart optimization for currency portfolios

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