𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Market Risk and Model Risk for a Financial Institution Writing Options

✍ Scribed by T. Clifton Green; Stephen Figlewski


Book ID
108502876
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
155 KB
Volume
54
Category
Article
ISSN
0022-1082

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Price-risk management with options: Opti
✍ George W. Ladd; Steven D. Hanson πŸ“‚ Article πŸ“… 1991 πŸ› John Wiley and Sons 🌐 English βš– 920 KB

Project No. 2858. 'Brown (1985) modifies the model used by both Johnson (1959-1960) and Stein (1961) by using returns in place of price levels, and his empirical results tend to support the traditional hedge when the objective is risk minimization.

Static hedging and model risk for barrie
✍ Morten Nalholm; Rolf Poulsen πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 131 KB πŸ‘ 2 views

The article investigates how sensitive different dynamic and static hedge strategies for barrier options are to model risk. It is found that using plainvanilla options to hedge offers considerable improvements over usual ⌬ hedges. Further, it is shown that the hedge portfolios involving options are