Applying hedging strategies to estimate model risk and provision calculation

DOI10.1080/14697688.2012.741260zbMath1281.91195arXiv1102.3534OpenAlexW2115594094MaRDI QIDQ5397439

Alberto Elices, Eduard Giménez

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.3534

zbMATH Keywords

risk measuresrisk managementpricing modelsvalidation of pricing models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Model risk of contingent claims

Cites Work

• The Pricing of Options and Corporate Liabilities
• Mean-variance hedging for general claims
• A new approach for option pricing under stochastic volatility
• Coherent Measures of Risk
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• HEDGING WITH ENERGY
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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