FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
نویسندگان
چکیده
منابع مشابه
From Smile Asymptotics to Market Risk Measures
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market’s assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference pricing by dynamic convex risk measur...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2012
ISSN: 0960-1627
DOI: 10.1111/mafi.12015