Risk Control and Derivative Pricing in Non-Gaussian Markets
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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.
KeywordsOption Price Implied Volatility Strike Price Geometric Brownian Motion Stochastic Volatility Model
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