Risk Control and Derivative Pricing in Non-Gaussian Markets
Published 1 January 2001
Johannes Voit
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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
Economics, Econometrics and Finance