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Risk Control and Derivative Pricing in Non-Gaussian Markets

  • Johannes Voit
Part of the Texts and Monographs in Physics book series (TMP)

Abstract

In this chapter, we will be concerned with risk. Section 7.2 introduces the notions of risk and risk control. It presents the established methods for measuring and controlling risk in Gaussian markets, and then carries on to Lévy markets. Sect. 7.3 discusses new proposals to improve option pricing and hedging in non-Gaussian markets.

Keywords

Option Price Implied Volatility Strike Price Geometric Brownian Motion Stochastic Volatility Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Johannes Voit
    • 1
  1. 1.Deutscher Sparkassen- und GiroverbandBonnGermany

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